An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density

By Ronnie Loeffen. Journal of Applied Probability, 2009

62 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d7398a39c730fd95d026c5cf49031b4a53c13cc1

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Citations in the corpus

OCCUPATION TIMES OF SPECTRALLY NEGATIVE LÉVY PROCESSES WITH APPLICATIONS (2010, unknown): “We have that W (q) is differentiable except for at most countably many points; see [18].”
De Finetti's optimal dividends problem with an affine penalty function at ruin (2010, background): “While dealing with the case K = 0 and S ∈ R, Loeffen [25] needed (strict) log-convexity of W (q)′ in order to show that a barrier strategy or the take-the-money-and-run strategy is optimal and proved that W (q)′ satisfies this if the density of the Lévy measure is completely monotone.”
Optimal dividends problem with a terminal value for spectrally positive Levy processes (2013, methodology): “The case S ∈ R was studied by Loeffen (2009, 2010) for spectrally negative Lévy processes.”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “…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 and Song, 2008b; Kyprianou and Loeffen, 2008; Loeffen, 2008a,b).”
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”