Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs-Reference-Cited by-同舟云学术

Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs

Published:2021-02-08 Issue:8 Volume:2021 Page:645-670
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Avanzi Benjamin¹^ORCID,Lau Hayden²,Wong Bernard²

Affiliation:

1. Centre for Actuarial Studies, Department of Economics, University of Melbourne VIC, Parkville, Australia

2. School of Risk and Actuarial Studies, UNSW Australia Business School, Kensington, Australia

Funder

Discovery Communications

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1869069

Reference43 articles.

1. Albrecher H., Cheung E. C. K. & Thonhauser S. (2011). Randomized observation periods for the compound poisson risk model: dividends. ASTIN Bulletin 41, 645–672.

2. Albrecher H., Gerber H. U. & Shiu E. S. W. (2011). The optimal dividend barrier in the gamma-omega model. European Actuarial Journal 1, 43–55.

3. Albrecher H., Ivanovs J. & Zhou X. (2016). Exit identities for Lévy processes observed at poisson arrival times. Bernoulli 22, 1364–1382.

4. Albrecher H. & Thonhauser S. (2009). Optimality results for dividend problems in insurance. RACSAM Revista De La Real Academia De Ciencias; Serie A, Mathemáticas 100, 295–320.

5. Asmussen S., Avram F. & Usabel M. (2002). Erlangian approximations for finite-horizon ruin probabilities. ASTIN Bulletin 32, 267–281.

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