Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

By Jean-François Renaud, Xiaowen Zhou. Journal of Applied Probability, 2007

70 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/306d2075a12ee07dd1b9ac26f623ccd40da8ef91

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Citations in the corpus

Special, conjugate and complete scale functions for spectrally negative Lévy processes (2007, background): “For example, in the theory of optimal stopping [1; 2] and [38], in the theory of optimal control [3], [40; 51] and [44], in the theory of queuing and storage models [21] and [4], in the theory of branching processes [10], [29] and [43], in the theory of insurance risk and ruin [15], [34], [33], [20]”
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008, unknown): “An alternative proof where only basic fluctuation identities are used in conjunction with the strong Markov property, is given in [28,34].”
Old and New Examples of Scale Functions for Spectrally Negative Levy Processes (2007, background): “…ruin Chiu and Yin (2005), Klüppelberg et al. (2004), Klüppelberg and Kyprianou (2006), Doney and Kyprianou (2006), Kyprianou and Palmowski (2007), Renaud and Zhou (2007), Loeffen (2007) and Kyprianou et al. (2008), in the theory of credit risk Hilberink and Rogers (2002) and Kyprianou and…”
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2011, background): “Spectrally negative Lévy processes have been considered recently in Avram et al. (2007), Biffis and Kyprianou (2010), Erder and Klüppelberg (2009), Kyprianou et al. (2010), Loeffen (2009), Renaud and Zhou (2007), among others, in the context of insurance risk models.”
General tax Structures and the Lévy Insurance Risk Model (2009, background): “Introduction and main results Recent advances in the analysis of the ubiquitous ruin problem from the theory of insurance risk has seen a tendency to replace the classical Cramér–Lundberg surplus process with a general spectrally negative Lévy process; see, for example, [2], [10], [11], and [21], to”
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density (2009, unknown): “[1], [3], [8], [9], [11], [14], [16], [19], [20], and [23]).”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “…example in the form of reflection or refraction strategies) and have proved to be key in understanding optimal barrier strategies (see: Zhou, 2005; Renaud and Zhou, 2007; Kyprianou and Palmowski, 2007; Albrecher, Renaud and Zhou, 2008; Kyprianou and Zhou, 2009; Loeffen, 2009; Kyprianou, Rivero…”
An optimal dividends problem with transaction costs for spectrally negative Lévy processes (2009, unknown): “[1,4,8–10,13,16,18,20,21,24]).”
A Lévy Insurance Risk Process with Tax (2008, background): “Recall from [17], and also from [15], that”
Exit identities for L\'evy processes observed at Poisson arrival times (2014, background): “In the case of continuous observations, that is, λ = ∞, this expression reduces to Wq(x)/W ′ q+(a), see, for example, [21], Proposition 2.”
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007, background): “Also we would like to thank the editorial office and the referee for bringing the work of Renaud and Zhou (2007) to our attention.”