Optimal Dividends and Capital Injections in the Dual Model with Diffusion

By Benjamin Avanzi, J. Shen, Bernard Wong. 2010

74 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/a6921f5358943ee9ab5f0c1e20cca6ac393cb25f

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In Finance

1. Chuancun Yin
2. Kam Chuen Yuen
3. Yuzhen Wen
4. Ping Chen
5. Hailiang Yang
6. Yongxia Zhao
7. Andreas E. Kyprianou
8. Xiaowen Zhou

In Management Science and Operations Research

1. Kam Chuen Yuen
2. Chuancun Yin
3. Yuzhen Wen
4. Ping Chen
5. Hailiang Yang
6. Yongxia Zhao
7. Zhibin Liang
8. Jun Cai

In Mathematical Physics

1. Kam Chuen Yuen
2. Yuzhen Wen
3. Ping Chen
4. Hailiang Yang
5. Chuancun Yin
6. Yongxia Zhao

Citations in the corpus

• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017, background): “In Avanzi et al. (2011), the proportional transaction costs from dividend and capital injection were involved into an optimal dividend problem.”
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs (2014, background): “The problem of study can be seen as a natural extension of Bayraktar and Egami [10], and Avanzi, Shen and Wong [7].”
• Optimal dividends in the dual model under transaction costs (2013, unknown): “The case without transaction costs has recently been well-studied; s e [ 3], [7], [2], and [4].”
• ON OPTIMAL DIVIDENDS IN THE DUAL MODEL (2012, unknown): “KEYWORDS Dual model, dividends, capital injections, spectrally positive Lévy processes, scale functions.”
• On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency (2013, unknown): “Recall that under the assumptions that solvency is monitored continuously and gains are (mixed) exponential, a continuously monitored barrier strategy at the corresponding optimal barrier level b∗CC is the globally optimal dividend strategy (see, for instance, Avanzi et al., 2011).”
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS (2013, background): “Avanzi et al. (2011) determined an explicit form for the value function in the dual model with diffusion when the gains distribution is a mixture of exponentials.”