Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
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Publication:5203959
DOI10.1017/apr.2019.33zbMath1427.60084arXiv1904.08029OpenAlexW3123051527MaRDI QIDQ5203959
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Publication date: 9 December 2019
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.08029
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Risk models (general) (91B05)
Related Items (6)
Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
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