相关论文: Alternative approach to the optimality of the thre…

In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as…

We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…

In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process in the absence of dividend payments. The classical dividend problem for an insurance…

The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown…

We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative L\'evy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the…

In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive…

We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive L\'evy) model. The first problem is a variant of the bail-out case where both dividend payments and…

We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…

In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive L\'evy) model, recent results have shown the…

We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgue measure, and the objective is to minimize the total costs…

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…

In this paper, we study de Finetti's optimal dividend problem with capital injection under the assumption that the dividend strategies are absolutely continuous. In many previous studies, the process before being controlled was assumed to…

We consider de Finetti's problem for spectrally one-sided L\'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of…

Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerber…

This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows a spectrally negative L\'evy process.…

We disucss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a L\'{e}vy insurance risk process. The optimal dividend barrier is defined as the level of the barrier that maximizes the…

In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…

In this note, merging ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally negative L\'evy model with Parisian ruin, as long as the tail…

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 an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…