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Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem · Study

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ArticleConvexity and Smoothness of Scale Functions and de Finetti’s Control Problem

Andreas E. Kyprianou2009

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Articlegreen2009

Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem

Andreas E. Kyprianou · Víctor Rivero · Renming Song

56 citations·0/0 files stored·Journal of Theoretical Probability

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

2005Stochastic Integration and Differential Equations 2019Semimartingale Theory and Stochastic Calculus 2007On the optimal dividend problem for a spectrally negative Lévy process 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options 2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL 2008On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes 2010Smoothness of scale functions for spectrally negative Lévy processes 2004Ruin probabilities and overshoots for general Lévy insurance risk processes

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2015On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function 2011On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function 2008The McKean stochastic game driven by a spectrally negative Lévy process

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2009An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Densityarticle · 12 shared references 2012Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processesarticle · 11 shared references 2008Special, conjugate and complete scale functions for spectrally negative Lévy processesarticle · 10 shared references 2009General tax Structures and the Lévy Insurance Risk Modelarticle · 10 shared references 2009On a generalization of the Gerber–Shiu function to path-dependent penaltiesarticle · 9 shared references 2009A note on scale functions and the time value of ruin for Lévy insurance risk processesarticle · 8 shared references

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Year2009

Typearticle

Published2009-03-31

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations56

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10959-009-0220-z

openalex_workW2152243710

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