Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

DOI10.1016/J.INSMATHECO.2017.03.006zbMATH Open1394.91243OpenAlexW2603715384MaRDI QIDQ2397860FDOQ2397860

Authors: Yongxia Zhao, Ping Chen, Hailiang Yang 

Publication date: 24 May 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/245294

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zbMATH Keywords

scale functionstochastic controlcapital injectionperiodic dividendLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)

Cites Work

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Cited In (43)

• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Hierarchical gradient- and least squares-based iterative algorithms for input nonlinear output-error systems using the key term separation
• Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
• Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
• Identification of the nonlinear systems based on the kernel functions
• Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
• Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
• Filtering-based recursive least squares estimation approaches for multivariate equation-error systems by using the multiinnovation theory
• Filtering‐based multi‐innovation recursive identification methods for input nonlinear systems with piecewise‐linear nonlinearity based on the optimization criterion
• Dividend and capital injection optimization with transaction cost for Lévy risk processes
• Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
• Decomposition‐based over‐parameterization forgetting factor stochastic gradient algorithm for Hammerstein‐Wiener nonlinear systems with non‐uniform sampling
• Analytical and numerical solutions to ergodic control problems arising in environmental management
• Overall recursive least squares and overall stochastic gradient algorithms and their convergence for feedback nonlinear controlled autoregressive systems
• Equilibrium dividend strategies in the dual model with a random time horizon
• Separable multi-innovation Newton iterative modeling algorithm for multi-frequency signals based on the sliding measurement window
• On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• Lévy bandits under Poissonian decision times
• Iterative parameter identification algorithms for the generalized time‐varying system with a measurable disturbance vector
• Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Recursive least squares estimation methods for a class of nonlinear systems based on non-uniform sampling
• A novel nonlinear optimization method for fitting a noisy Gaussian activation function
• Finite-time state-feedback stabilization of high-order stochastic nonlinear systems with an asymmetric output constraint
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• Central limit theorem and convergence rates for a supercritical branching process with immigration in a random environment
• On optimal periodic dividend strategies for Lévy risk processes
• On the optimality of periodic barrier strategies for a spectrally positive Lévy process
• Optimal dividends and capital injections for a spectrally positive Lévy process
• Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
• Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
• Spectrally negative Lévy risk model under Erlangized barrier strategy
• On a spectrally negative Lévy risk process with periodic dividends and capital injections
• Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
• A dividend optimization problem with constraint of survival probability in a Markovian environment model

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