On optimality of the barrier strategy for a general Lévy risk process

DOI10.1016/J.MCM.2010.12.042zbMath1219.91076arXiv1101.0447OpenAlexW2057162044MaRDI QIDQ636448

Kam-Chuen Yuen, Chuan-Cun Yin

Publication date: 28 August 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.0447

zbMATH Keywords

Lévy processesscale functionbarrier strategyoptimal dividend problemcomplete monotonicityprobability of ruin

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (8)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ A Lévy risk model with ratcheting and barrier dividend strategies ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ A hyper-exponential jump-diffusion model under the barrier dividend strategy ⋮ Portfolio strategy of financial market with regime switching driven by geometric Lévy process ⋮ Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes ⋮ The exit time and the dividend value function for one-dimensional diffusion processes ⋮ Stochastic transitions in the Schlögl reaction model with nonextensive statistical noise and Gaussian white noise

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