Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
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Publication:732157
DOI10.1016/j.cam.2009.07.051zbMath1176.60034OpenAlexW2044187775MaRDI QIDQ732157
Publication date: 9 October 2009
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.07.051
convexityscale functionlog-convexitybarrier strategyoptimal dividend problemcomplete monotonicityspectrally negative Lévy process
Related Items (10)
Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ On optimal periodic dividend strategies for Lévy risk processes ⋮ On the complete monotonicity of the compound geometric convolution with applications in risk theory ⋮ A Lévy risk model with ratcheting and barrier dividend strategies ⋮ On optimality of the barrier strategy for a general Lévy risk process ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
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