On optimality of the barrier strategy for a general Lévy risk process
暂无分享,去创建一个
[1] A. Kyprianou. Introductory Lectures on Fluctuations of Lévy Processes with Applications , 2006 .
[2] Jostein Paulsen,et al. Optimal choice of dividend barriers for a risk process with stochastic return on investments , 1997 .
[3] Xiaowen Zhou,et al. Distribution of the Present Value of Dividend Payments in a Lévy Risk Model , 2007, Journal of Applied Probability.
[4] Hansjörg Albrecher,et al. Optimal dividend strategies for a risk process under force of interest , 2008 .
[5] P. Azcue,et al. OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL , 2005 .
[6] L. Rogers. Wiener–Hopf Factorization of Diffusions and Lévy Processes , 1983 .
[7] Søren Asmussen,et al. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation , 2000, Finance Stochastics.
[8] Hui Wang,et al. First passage times of a jump diffusion process , 2003, Advances in Applied Probability.
[9] D. P. Gaver,et al. Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers , 1984 .
[10] Jostein Paulsen,et al. Optimal dividend payouts for diffusions with solvency constraints , 2003, Finance Stochastics.
[11] Hans-Ulrich Gerber,et al. Entscheidungskriterien für den zusammengesetzten Poisson-Prozess , 1969 .
[12] Florin Avram,et al. On the optimal dividend problem for a spectrally negative Lévy process , 2007, math/0702893.
[13] Mladen Savov,et al. Smoothness of scale functions for spectrally negative Lévy processes , 2009, 0903.1467.
[14] W. Li,et al. The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier , 2007 .
[15] Stéphane Villeneuve,et al. Optimal dividend policy and growth option , 2006, Finance Stochastics.
[16] “On Optimal Dividend Strategies in the Compound Poisson Model”, by Hans U. Gerber and Elias S. W. Shiu, April 2006 , 2006 .
[17] R. Loeffen,et al. On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes , 2008, 0811.1862.
[18] 佐藤 健一. Lévy processes and infinitely divisible distributions , 2013 .
[19] Hans U. Gerber,et al. On Optimal Dividend Strategies In The Compound Poisson Model , 2006 .
[20] Ernesto Mordecki. Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps , 2004 .
[21] R. Song,et al. Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem , 2008, 0801.1951.
[22] S. Asmussen,et al. Russian and American put options under exponential phase-type Lévy models , 2004 .
[23] Chuancun Yin,et al. Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: An alternative approach , 2009, J. Comput. Appl. Math..
[24] Jean Bertoin,et al. Cramér's estimate for Lévy processes , 1994 .
[25] M. Bagnoli,et al. Log-concave probability and its applications , 2004 .