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Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis; Yamazaki, Kazutoshi - In: Risks : open access journal 6 (2018) 2, pp. 1-39
with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation … identities are computed in terms of the scale functions. Applications in de Finetti’s dividend problems are also discussed. …
Persistent link: https://www.econbiz.de/10011866334
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On the optimality of periodic barrier strategies for a spectrally positive Lévy process
Pérez, José-Luis; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 77 (2017), pp. 1-13
Persistent link: https://www.econbiz.de/10011783865
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Optimal dividends in the dual model under transaction costs
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 54 (2014), pp. 133-143
Persistent link: https://www.econbiz.de/10010259658
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The W,Z/ν,δ paradigm for the first passage of strong Markov processes without positive jumps
Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren - In: Risks : open access journal 7 (2019) 1/18, pp. 1-17
dividends, inspired by the de Finetti problem of maximizing expected discounted cumulative dividends until ruin, where we …
Persistent link: https://www.econbiz.de/10012016015
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A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
Avram, Florin; Goreac, Dan - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 799-823
Persistent link: https://www.econbiz.de/10012194999
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A note on the optimal dividends paid in a foreign currency
Eisenberg, Julia; Krühner, Paul - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 1, pp. 67-73
Persistent link: https://www.econbiz.de/10011730243
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Optimal dividend problem with a terminal value for spectrally positive Lévy processes
Yin, Chuancun; Wen, Yuzhen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 769-773
Persistent link: https://www.econbiz.de/10010227876
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On the optimal dividend problem for a spectrally positive Lévy process
Yin, Chuancun; Wen, Yuzhen; Zhao, Yongxia - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 635-651
Persistent link: https://www.econbiz.de/10010407942
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On optimal periodic dividend strategies for Lévy risk processes
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; … - In: Insurance / Mathematics & economics 80 (2018), pp. 29-44
Persistent link: https://www.econbiz.de/10011872906
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Optimal reinsurance and dividend for a diffusion model with capital injection : variance premium principle
Zhou, Ming; Yuen, Kam Chuen - In: Economic modelling 29 (2012) 2, pp. 198-207
Persistent link: https://www.econbiz.de/10009536037