General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes

DOI10.1017/jpr.2018.33zbMath1396.91314OpenAlexW2884945743MaRDI QIDQ4684956

Wenyuan Wang, Xiao-Wen Zhou

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2018.33

zbMATH Keywords

stochastic controlspectrally negative Lévy processdrawdown timede Finetti's optimal dividend problemHJB inequality

Mathematics Subject Classification ID

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

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