Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs

DOI10.1080/03461238.2020.1869069zbMath1476.91119arXiv2004.01838OpenAlexW3013049684MaRDI QIDQ5014491

Bernard Wong, Hayden Lau, Benjamin Avanzi

Publication date: 8 December 2021

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

Full work available at URL: https://arxiv.org/abs/2004.01838

zbMATH Keywords

fixed transaction costsoptimal periodic dividendsSNLP

Mathematics Subject Classification ID

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

Related Items (3)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy

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