SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem
16 references·3 citing·31 second hop
Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem (2009)Convexity and Smoothness of Scale Functio…Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes (2011)Old and New Examples of Scale…Smoothness of scale functions for spectrally negative Lévy processes (2010)Smoothness of scale functions…Special, conjugate and complete scale functions for spectrally negative Lévy processes (2008)Special, conjugate and comple…On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)On optimality of the barrier …On the optimal dividend problem for a spectrally negative Lévy process (2007)On the optimal dividend probl…Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007)Distributional Study of De Fi…Overshoots and undershoots of Lévy processes (2006)Overshoots and undershoots of…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Overshoots and undershoots of Levy processes (2005)Overshoots and undershoots of…OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)OPTIMAL REINSURANCE AND DIVID…Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Ruin Probabilities and Oversh…Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin probabilities and oversh…Ruin probabilities and decompositions for general perturbed risk processes (2004)Ruin probabilities and decomp…Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Exit problems for spectrally …Risk processes perturbed by α-stable Lévy motion (1998)Risk processes perturbed by α…On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2015)On Gerber–Shiu functions and …On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function (2011)On Gerber-Shiu functions and …The McKean stochastic game driven by a spectrally negative Lévy process (2008)The McKean stochastic game dr…Financial Modelling with Jump Processes (2003)Lévy processes in finance pricing financial derivatives (2003)Lévy Processes in Finance (2003)Refracted Lévy processes (2010)A Wiener–Hopf Monte Carlo simulation technique for Lévy processes (2011)Occupation times of spectrally negative Lévy processes with applications (2011)Aspects of Risk Theory (1991)Modelling Extremal Events (1997)Ruin Probabilities (2000)Subexponential Distributions (2004)Exit problems for jump processes with applications to dividend problems (2012)Optimal dividend problem with a terminal value for spectrally positive Lévy processes (2013)Optimization of the flow of dividends (1995)Controlled diffusion models for optimal dividend pay-out (1997)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Stochastic Integration and Differential Equations : A New Approach (2014)An introduction to mathematical risk theory (1979)Applied Probability and Queues (1987)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Controlled Markov Processes and Viscosity Solutions (2005)Modelling of extremal events in insurance and finance (1994)A General Formula for Valuing Defaultable Securities (2004)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2019Semimartingale Theory and Stochastic Calculus488 cited
  • 2007On the optimal dividend problem for a spectrally negative Lévy process302 cited
  • 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options264 cited
  • 2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL246 cited
  • 2008On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes216 cited
  • 2010Smoothness of scale functions for spectrally negative Lévy processes162 cited
  • 2004Ruin probabilities and overshoots for general Lévy insurance risk processes151 cited
  • 2004Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes146 cited
  • 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes124 cited
  • 2006Overshoots and undershoots of Lévy processes109 cited
  • 2005Overshoots and undershoots of Levy processes102 cited
  • 2007Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process95 cited
  • 2004Ruin probabilities and decompositions for general perturbed risk processes94 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1998
Risk processes perturbed by α-stable Lévy motion
93 cited
  • 2008Special, conjugate and complete scale functions for spectrally negative Lévy processes70 cited
  • Cited by

    • 2015On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function44 cited
    • 2011On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function44 cited
    • 2008The McKean stochastic game driven by a spectrally negative Lévy process40 cited