Dividend problem with Parisian delay for a spectrally negative Lévy risk process

DOI10.1007/s10957-013-0283-yzbMath1296.91150arXiv1004.3310OpenAlexW2158312468WikidataQ59398673 ScholiaQ59398673MaRDI QIDQ2247926

Irmina Czarna, Zbigniew Palmowski

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.3310

zbMATH Keywords

risk processruin probabilityLévy processParisian ruindividends

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (24)

On the optimal dividend problem in the dual model with surplus-dependent premiums ⋮ Parisian ruin over a finite-time horizon ⋮ Parisian ruin of self-similar Gaussian risk processes ⋮ Dividend barrier strategy: proceed with caution ⋮ On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Dividend optimisation: a behaviouristic approach ⋮ A note on optimal expected utility of dividend payments with proportional reinsurance ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ Parisian ruin in the dual model with applications to the \(G/M/1\) queue ⋮ A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin ⋮ Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ The Omega-model with two bankruptcy rates ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ Parisian ruin with a threshold dividend strategy under the dual Lévy risk model ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Draw-down Parisian ruin for spectrally negative Lévy processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• An insurance risk model with Parisian implementation delays
• Perturbed Brownian motion and its application to Parisian option pricing
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Risk theory with a nonlinear dividend barrier
• Optimal dividend strategies for a risk process under force of interest
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Optimal dividend distribution under Markov regime switching
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Parisian ruin probability for spectrally negative Lévy processes
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• On the optimal dividend problem for a spectrally negative Lévy process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Russian and American put options under exponential phase-type Lévy models.
• On a Classical Risk Model with a Constant Dividend Barrier
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Band strategies: The random walk of reserves
• Applied Probability and Queues
• Optimization of the flow of dividends
• Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• Asymptotic Theory for a Risk Process with a High Dividend Barrier
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Optimal Dividends
• Stochastic differential equations. An introduction with applications.
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

This page was built for publication: Dividend problem with Parisian delay for a spectrally negative Lévy risk process