De Finetti's optimal dividends problem with an affine penalty function at ruin

DOI10.1016/j.insmatheco.2009.09.006zbMath1231.91212OpenAlexW1971987563MaRDI QIDQ659188

Jean-François Renaud, Ronnie Loeffen

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.006

zbMATH Keywords

Lévy processesstochastic controllog-convexitydeficit at ruinoptimal dividendsinsurance risk theoryGerber-Shiu functions

Mathematics Subject Classification ID

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