On a doubly reflected risk process with running maximum dependent reflecting barriers

DOI10.1016/J.CAM.2022.114880zbMATH Open1505.91137OpenAlexW4306740378MaRDI QIDQ2104057FDOQ2104057

Authors: Wenyuan Wang, Ning Wang, Mi Chen

Publication date: 9 December 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114880

Recommendations

A drawdown reflected spectrally negative Lévy process
The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
Lévy risk model with two-sided jumps and a barrier dividend strategy
The maximum of a Lévy process reflected at a general barrier
On a spectrally negative Lévy risk process with periodic dividends and capital injections

zbMATH Keywords

dividends capital injections potential measure doubly reflected risk process historic record high dependent reflecting barriers

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

Cites Work

Title not available (Why is that?)
On the optimal dividend problem for a spectrally negative Lévy process
On Optimal Dividend Strategies In The Compound Poisson Model
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
Fluctuations of Lévy processes with applications. Introductory lectures
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Title not available (Why is that?)
Risk theory for the compound Poisson process that is perturbed by diffusion
Optimal dividends in the dual model
On a dual model with a dividend threshold
Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
Exit identities for Lévy processes observed at Poisson arrival times
Strategies for Dividend Distribution: A Review
When does the surplus reach a given target?
Some Optimal Dividends Problems
On optimal dividends with exponential and linear penalty payments
Formulas for stopped diffusion processes with stopping times based on the maximum
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
Title not available (Why is that?)
General tax structures and the Lévy insurance risk model
Title not available (Why is that?)
Perpetual options and Canadization through fluctuation theory
The theory of scale functions for spectrally negative Lévy processes
Optimal investment and risk control policies for an insurer: expected utility maximization
Title not available (Why is that?)
Old and new examples of scale functions for spectrally negative Lévy processes
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
Maximizing Dividends without Bankruptcy
Optimal dividend strategies in a Cramér-Lundberg model with capital injections
Smoothness of scale functions for spectrally negative Lévy processes
On the probability of ruin in the presence of a linear dividend barrier
An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
The McKean stochastic game driven by a spectrally negative Lévy process
Phase-type Fitting of scale functions for spectrally negative Lévy processes
Optimal dividends and capital injections in the dual model with diffusion
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
The perturbed compound Poisson risk model with linear dividend barrier
On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends
The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
A drawdown reflected spectrally negative Lévy process
On taxed spectrally negative Lévy processes with draw-down stopping
General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
On Optimal Dividend, Reinvestment, and Liquidation Policies for the Firm
On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model
On doubly reflected completely asymmetric Lévy processes.
Finite-time dividend problems in a Lévy risk model under periodic observation
Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
Exit problems for general draw-down times of spectrally negative Lévy processes
General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
Risk modelling on liquidations with Lévy processes
Optimality of doubly reflected Lévy processes in singular control
The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process
Fluctuation theory and stochastic games for spectrally negative Lévy processes.

This page was built for publication: On a doubly reflected risk process with running maximum dependent reflecting barriers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2104057)