Optimal dividend strategy under Parisian ruin with affine penalty

DOI10.1007/s11009-021-09865-7zbMath1492.93207OpenAlexW3161483388MaRDI QIDQ2157383

Yanyan Li

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09865-7

zbMATH Keywords

optimal dividend problemParisian ruinspectrally negative Lévy processaffine penalty payments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Risk models (general) (91B05)

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