On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models
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Publication:5106718
DOI10.1137/19M1298172zbMath1461.60030arXiv1901.03021MaRDI QIDQ5106718
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Publication date: 22 April 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.03021
regime switchingfixed point argumentcapital injectionabsolutely continuous constraintrefracted-reflected spectrally negative Lévy process
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items (6)
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ Optimal dividend strategy for an insurance group with contagious default risk
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