Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
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Cites work
- A Direct Approach to the Discounted Penalty Function
- A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
- A multi-dimensional martingale for Markov additive processes and its applications
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes
- Fluctuations of Lévy processes with applications. Introductory lectures
- Gerber-Shiu analysis with two-sided acceptable levels
- Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
- Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- On Singular Control for Lévy Processes
- On the bail-out optimal dividend problem
- On the bailout dividend problem for spectrally negative Markov additive models
- On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
- On the optimal dividend problem for a spectrally negative Lévy process
- Optimal dividend distribution under Markov regime switching
- Optimal dividends and capital injections in the dual model with a random time horizon
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
- Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
- Ruin theory for a Markov regime-switching model under a threshold dividend strategy
- The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
- The Markovian regime-switching risk model with a threshold dividend strategy
- The perturbed compound Poisson risk model with two-sided jumps
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