Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach

DOI10.1016/J.CAM.2009.07.051MaRDI QIDQ732157zbMATH OpenOpenAlexFDO

Publication date 9 October 2009

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2009.07.051

scale function convexity barrier strategy complete monotonicity optimal dividend problem log-convexity spectrally negative Lévy process

Mathematics Subject Classification ID

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

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Cites work

scientific article; zbMATH DE number 918811 (Why is no real title available?)
scientific article; zbMATH DE number 3307211 (Why is no real title available?)
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A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
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On the optimal dividend problem for a spectrally negative Lévy process
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Optimal Dividends
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Optimal dividend policy and growth option
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Cited in

(21)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
De Finetti's optimal dividends problem with an affine penalty function at ruin
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
On the optimal dividend problem for a spectrally negative Lévy process
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy
Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
Optimality of the threshold dividend strategy for the compound Poisson model
A Lévy risk model with ratcheting and barrier dividend strategies
A Lévy risk model with ratcheting dividend strategy and historic high-related stopping
On the complete monotonicity of the compound geometric convolution with applications in risk theory
General drawdown-based de Finetti optimization 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
On optimality of the barrier strategy for a general Lévy risk process
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
On optimal periodic dividend strategies for Lévy risk processes
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
Spectrally negative Lévy risk model under Erlangized barrier strategy
Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency

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