Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
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Cites work
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Applied Probability and Queues
- Completely asymmetric Lévy processes confined in a finite interval
- Controlled diffusion models for optimal dividend pay-out
- Convexity and smoothness of scale functions and de Finetti's control problem
- Fluctuations of Lévy processes with applications. Introductory lectures
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
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- On doubly reflected completely asymmetric Lévy processes.
- On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model
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- On optimal dividend strategies in the compound Poisson model
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- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- On the optimal dividend problem for a spectrally negative Lévy process
- On the refracted-reflected spectrally negative Lévy processes
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal control of a Brownian storage system
- Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Optimal dividend strategies in a dual model with capital injections
- Optimal dividends and capital injections in the dual model with diffusion
- Optimal financing and dividend distribution in a general diffusion model with regime switching
- Optimality of the threshold dividend strategy for the compound Poisson model
- Optimization of the flow of dividends
- Refracted Lévy processes
- Smoothness of scale functions for spectrally negative Lévy processes
- The compound Poisson risk model with a threshold dividend strategy
Cited in
(9)- Spectrally negative Lévy risk model under Erlangized barrier strategy
- On a doubly reflected risk process with running maximum dependent reflecting barriers
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Optimal dividends and capital injections for a spectrally positive Lévy process
- Optimal capital structure with scale effects under spectrally negative Lévy models
- Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
- Optimality of Threshold Strategies for Spectrally Negative Lévy Processes and a Positive Terminal Value at Creeping Ruin
- On the spectrally negative Lévy risk process with mixed dividends and capital injections
- On the optimality of double barrier strategies for Lévy processes
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