Related papers: Dividend problem with Parisian delay for a spectra…
In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process.…
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments). The management of the company is assumed to…
In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both deterministic delays and exponentially distributed delays:…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…
This paper studies de Finetti's optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying risk model follows a L\'evy process that may have positive and negative jumps. The…
In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also…
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the…
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in…
This paper concerns an optimal impulse control problem associated with a refracted L\'{e}vy process, involving the reduction of reserves to a predetermined level whenever they exceed a specified threshold. The ruin time is determined by…
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180]…
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive L\'{e}vy processes, we give a short exposition in which we show the optimality of barrier…
We consider the general class of spectrally positive L\'evy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot…
This paper investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Levy processes. We consider an insurance company whose surplus process evolves according to a…
This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when it drops below a pre-specified function of its last record…
In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative L\'{e}vy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its…
In the setting of a L\'evy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bigger than a given threshold $r$. First, we give the joint…
Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative L\'evy process with Parisian implementation delays. To be specific, we study the so-called…
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at…
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time $d>0$. We identify expressions for the ruin probabilities within…
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk…