Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
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Publication:732157
DOI10.1016/J.CAM.2009.07.051zbMATH Open1176.60034OpenAlexW2044187775MaRDI QIDQ732157FDOQ732157
Authors: Chuancun Yin, Chunwei Wang 
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
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scale functionconvexitybarrier strategycomplete monotonicityoptimal dividend problemlog-convexityspectrally negative Lévy process
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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
- On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- On the optimal dividend problem for a spectrally negative Lévy process
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- 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
- A Lévy risk model with ratcheting and barrier dividend strategies
- Optimality of the threshold dividend strategy for the compound Poisson model
- 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
- A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- 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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