Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process

We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the expected discounted dividends until the time of ruin. Under appropriate conditions...

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Detalles Bibliográficos
Autores principales: Yin, Chuancun, Yuen, Kam Chuen, Shen, Ying
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2015
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4550762/
https://www.ncbi.nlm.nih.gov/pubmed/26351655
http://dx.doi.org/10.1155/2015/354129

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4550762/
https://www.ncbi.nlm.nih.gov/pubmed/26351655
http://dx.doi.org/10.1155/2015/354129

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