Linking dividends and capital injections – a probabilistic approach

DOI10.1080/03461238.2017.1300605zbMath1416.91146OpenAlexW2598629842MaRDI QIDQ4583603

Jevgenijs Ivanovs, Hansjoerg Albrecher

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_07D23478C41D.P001/REF.pdf

zbMATH Keywords

Lévy processestwo-sided reflectiondividend strategies

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items

A perturbation approach to optimal investment, liability ratio, and dividend strategies, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, Dividends with tax and capital injection in a spectrally negative Lévy risk model, Unnamed Item, A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time

Cites Work

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• Potential measures of one-sided Markov additive processes with reflecting and terminating barriers