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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Hindawi Publishing Corporation
2015
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| Materias: | |
| 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 |