A Lévy risk model with ratcheting and barrier dividend strategies
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Publication:6112832
DOI10.3934/MFC.2022025OpenAlexW4288063312MaRDI QIDQ6112832
Publication date: 7 August 2023
Published in: Mathematical Foundations of Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mfc.2022025
spectrally negative Lévy processratcheting dividend strategybarrier dividend strategyexpected net present value
Cites Work
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- Dividends: from refracting to ratcheting
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
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- On the optimal dividend problem for a spectrally negative Lévy process
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- A Risk Model with Multilayer Dividend Strategy
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- Optimal Ratcheting of Dividends in Insurance
- ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
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