On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
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Publication:506083
DOI10.1016/j.insmatheco.2016.10.010zbMath1394.91185arXiv1607.01902OpenAlexW2464313456MaRDI QIDQ506083
Benjamin Avanzi, Kazutoshi Yamazaki, Bernard Wong, José Luis Pérez Garmendia
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.01902
Related Items (10)
Dividends: from refracting to ratcheting ⋮ The dual risk model with dividends taken at arrival ⋮ Optimality of multi-refraction control strategies in the dual model ⋮ On the bail-out optimal dividend problem ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Stable dividends under linear-quadratic optimisation ⋮ A Lévy risk model with ratcheting and barrier dividend strategies ⋮ A dual risk model with additive and proportional gains: ruin probability and dividends ⋮ General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes ⋮ Optimality of refraction strategies for a constrained dividend problem
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