Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes

DOI10.1080/03610918.2020.1828918OpenAlexW3092334585MaRDI QIDQ5055203

Ping Chen, Zhang Liu

Publication date: 13 December 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1828918

zbMATH Keywords

scale functionspectrally negative Lévy processdraw-down timebarrier dividend strategymoments of dividends

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The Markov additive risk process under an Erlangized dividend barrier strategy
• On a dual model with barrier strategy
• On the drawdown of completely asymmetric Lévy processes
• On magnitude, asymptotics and duration of drawdowns for Lévy models
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• Smoothness of scale functions for spectrally negative Lévy processes
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• The distribution of total dividend payments in a Sparre Andersen model
• The dividend function in the jump-diffusion dual model with barrier dividend strategy
• A stopped Brownian motion formula
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
• Optimal dividend distribution under Markov regime switching
• Dividend problems in the dual risk model
• On the dual risk model with diffusion under a mixed dividend strategy
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
• Fluctuations of Lévy processes with applications. Introductory lectures
• On taxed spectrally negative Lévy processes with draw-down stopping
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
• Drawdown analysis for the renewal insurance risk process
• Some Optimal Dividends Problems
• General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
• Strategies for Dividend Distribution: A Review
• A perturbed risk model with constant interest and periodic barrier dividend strategy
• Modeling and asymptotic analysis of insurance company performance
• Exit problems for general draw-down times of spectrally negative Lévy processes
• Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
• Laplace transform approach to option pricing for time-changed Brownian models
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum

This page was built for publication: Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes