Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model

DOI10.1080/10920277.2020.1805633zbMath1479.91320arXiv2001.03733OpenAlexW3141101340MaRDI QIDQ3385438

Julia Eisenberg, Zbigniew Palmowski

Publication date: 18 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03733

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

Related Items (1)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks

Cites Work

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• Optimal dividends under a stochastic interest rate
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
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• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
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• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance

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