A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin

DOI10.1016/J.SPL.2023.109978arXiv2309.17152OpenAlexW4388819169MaRDI QIDQ6192584FDOQ6192584

Authors: Jean-François Renaud 

Publication date: 13 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2309.17152

zbMATH Keywords

Parisian ruinimpulse controllog-convexityoptimal dividendsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Cites Work

• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Optimality results for dividend problems in insurance
• A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Convexity and smoothness of scale functions and de Finetti's control problem
• Optimal payout policy in presence of downside risk

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