Optimizing Dividends and Capital Injections Limited by Bankruptcy, and Practical Approximations for the Cramér-Lundberg Process
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-021-09916-z.pdf
Reference37 articles.
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3. Avram F, Pistorius M (2014) On matrix exponential approximations of ruin probabilities for the classic and brownian perturbed cramér-lundberg processes. Insurance: Mathematics and Economics 59:57–64
4. Avram F, Kyprianou A, Pistorius M (2004) Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Ann Appl Probab 14(1):215–238
5. Avram F, Palmowski Z, Pistorius MR (2007) On the optimal dividend problem for a spectrally negative Lévy process. The Annals of Applied Probability pp. 156–180
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