An optimal dividends problem with transaction costs for spectrally negative Lévy processes

By Ronnie Loeffen. 2009

73 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/c06a7019a1032c8c5ded42cc67b9e11d07206cb6

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Citations in the corpus

A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “This model was the subject of the recent work of, for example, Morales (2007). The case thatΠ(0,∞) = ∞ but (0,1) xΠ(dx) = ∞ is the case of an unbounded variation jump part.”
Optimal dividends in the dual model under transaction costs (2013, unknown): “Recall that, in the spectrally negative counterpart (Loeffen, 2009), the (c1, c2)policy may fail to be optimal if the Lévy density is not completely monotone.”
De Finetti's optimal dividends problem with an affine penalty function at ruin (2010, background): “In fact, this even improves these results since the Lévy measure having a log-convex (or completely monotone) density implies that the tail of the Lévy measure is log-convex (cf. Remark 4 in [3]).”
On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2011, methodology): “Even more direct optimality conditions in terms of the Lévy measure ν were provided by Kyprianou et al. [26], and Loeffen and Renaud [29], who showed, respectively, that log-convexity of the density and of the survival functions suffice (the second condition is more general).”
The Theory of Scale Functions for Spectrally Negative Lévy Processes (2011, background): “0(a) for 0 x a x a+ W (q)(a) W(q)0(a) for x >a: (1.8) The methodology that lead to the above solution has also been shown to have applicability in other related control problems. See for example [76, 77, 71, 78, 68]. Queuing theory: The classical M/G/1 queue is described as follows. Customers arr”