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Optimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs
16 references·0 citing·37 second hop
Optimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs (2014)Optimal dividend problems for a jump-diff…ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS (2014)ON THE OPTIMAL DIVIDEND PROBL…Optimal dividend problem with a terminal value for spectrally positive Lévy processes (2013)Optimal dividend problem with…An extension of Paulsen–Gjessing’s risk model with stochastic return on investments (2013)An extension of Paulsen–Gjess…On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency (2012)On a periodic dividend barrie…Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs (2011)Optimal dividend and capital …Strategies for Dividend Distribution: A Review (2009)Strategies for Dividend Distr…Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs (2008)Optimal financing and dividen…Optimal Dividends in the Dual Model with Diffusion (2008)Optimal Dividends in the Dual…Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)Optimal dividend strategies i…Stochastic Control in Insurance (2007)Stochastic Control in Insuran…Optimizing venture capital investments in a jump diffusion model (2007)Optimizing venture capital in…Optimal dividends in the dual model (2006)Optimal dividends in the dual…OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)OPTIMAL REINSURANCE AND DIVID…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Russian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insurance and Finance (2001)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle (2011)The Investment, Financing, and Valuation of the Corporation (1963)On the Time Value of Ruin (1998)Optimality results for dividend problems in insurance (2009)Optimality of the threshold dividend strategy for the compound Poisson model (2011)Theory of games and economic behavior (2019)Aspects of Risk Theory (1991)Optimization of the flow of dividends (1995)Optimal Dividends (2004)Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections (2013)Optimal dividends in the dual model under transaction costs (2013)Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)A Jump-Diffusion Model for Option Pricing (2002)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)Mathematical Methods in Risk Theory (1970)Randomized observation periods for the compound Poisson risk model: Dividends (2011)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)On the optimal dividend problem for a spectrally negative Lévy process (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)On the optimality of periodic barrier strategies for a spectrally positive Lévy process (2017)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 2007Stochastic Control in Insurance268 cited
  • 2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL246 cited
  • 2009Strategies for Dividend Distribution: A Review207 cited
  • 2006Optimal dividends in the dual model182 cited
  • 2008Optimal dividend strategies in a Cramér–Lundberg model with capital injections138 cited
  • 2013Optimal dividend problem with a terminal value for spectrally positive Lévy processes122 cited
  • 2011Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs100 cited
  • 2014ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS91 cited
  • 2012On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency84 cited
  • 2008Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs82 cited
  • 2013An extension of Paulsen–Gjessing’s risk model with stochastic return on investments80 cited
  • 2008

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Optimal Dividends in the Dual Model with Diffusion
74 cited
  • 2007Optimizing venture capital investments in a jump diffusion model70 cited
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