Complete discounted cash flow valuation

DOI10.1016/j.insmatheco.2016.12.004zbMath1416.91395OpenAlexW2564614086MaRDI QIDQ1681180

Łukasz Kuciński, Lestaw Gajek

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.12.004

zbMATH Keywords

real optionsruin theorySolvency IIspectrally negative Lévy processdividend problemDCF valuationmixed stochastic control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

Gambler's ruin problem in a Markov-modulated jump-diffusion risk model ⋮ Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model

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