相关论文: On optimal periodic dividend strategies for L\'evy…

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.…

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.…

In this paper, we consider the mixed ratcheting-periodic dividend strategies for spectrally negative L\'{e}vy risk model, in which dividend payments can both be made continuously without falling and discretely at the jump times of an…

Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…

We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive L\'{e}vy process, an optimal strategy is given by a $(c_1,c_2)$-policy that brings the surplus…

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…

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…

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 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 a De Finetti's optimal dividend and capital injection problem under a Markov additive model. The surplus process without dividend and capital injection is assumed to follow a spectrally positive Markov additive process (MAP).…

This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first study an auxiliary singular control problem with a final…

We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…

This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the…

Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual…

In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by 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 a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem…

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…

The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative L\'evy model where the implementation of optimal strategies draws upon the computation of scale functions and their derivatives. This…

In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…