Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

By Andreas E. Kyprianou, Zbigniew Palmowski. Journal of Applied Probability, 2007

113 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/dda8bd2005d8fd12ddf29019fcec74d369c7d55f

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Citations in the corpus

Distribution of the Present Value of Dividend Payments in a Lévy Risk Model (2007, background): “[12] Kyprianou, A. E. and Palmowski, Z. (2007).”
Refracted Lévy processes (2008, unknown): “See, for example, [2] [7] [12] [13] [17] [18] [20] [26] [30].”
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]”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “Other advantages of scale functions can be seen in recent literature that looks at dividend payments (for 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 Palmowsk”
A Lévy Insurance Risk Process with Tax (2008, background): “An interpretation of such Lévy risk processes for the surplus modelling of large insurance companies is, for instance, given in [12] and [15].”
Occupation Times of Refracted Lévy Processes (2012, unknown): “See for example [1,4–6,8, 9,12,17,18].”
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]).”
On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models (2015, background): “The stopping time ηb is related to the so-called Parisian time, which is the first time the length of excursions from a fixed spatial level (rather than its running maximum) exceeds a pre-specified time threshold; see, for example, Chesney et al. [9] and Czarna and Palmowski [11].”
An optimal dividends problem with transaction costs for spectrally negative Lévy processes (2009, unknown): “[1,4,8–10,13,16,18,20,21,24]).”
Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem (2008, background): “of literature concerning actuarial mathematics which explores the interaction of classical models of risk and fine properties of Lévy processes with a view to gaining new results on both sides (see for example [2, 10, 18, 19, 23, 22, 24, 26, 28, 31]).”
General tax Structures and the Lévy Insurance Risk Model (2009, background): “1) constitute a subclass of controlled Lévy risk processes, the latter being of popular interest in recent literature; see, for example, [5], [13], and [14].”
Old and New Examples of Scale Functions for Spectrally Negative Levy Processes (2007, background): “…the theory of insurance risk and 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…”