𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On optimality of the barrier strategy for a general Lévy risk process

✍ Scribed by Kam Chuen Yuen; Chuancun Yin

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
241 KB
Volume
53
Category
Article
ISSN
0895-7177

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Optimality of the barrier strategy in de
Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: An alternative approach
✍ Chuancun Yin; Chunwei Wang 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 591 KB

The optimal dividend problem proposed in de Finetti is to find the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Avram et al. [9] studied the case when the risk process is modelled by a general spe

A note on the mean correcting martingale
A note on the mean correcting martingale measure for geometric Lévy processes
✍ Luogen Yao; Gang Yang; Xiangqun Yang 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 217 KB

A martingale measure is constructed by using a mean correcting transform for the geometric Lévy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Lévy process, there exists a continuous Gaussian part. Although this measure cannot be equiv

The trace of a one-dimensional Markov pr
The trace of a one-dimensional Markov process with Lévy measure
✍ Heidrun Seidel 📂 Article 📅 1980 🏛 John Wiley and Sons 🌐 English ⚖ 565 KB

The trace of a one-dimensional MARHOV process with LBVY measure By HEIDRUN SEIDEL of Dresden (Eingegangen am 10. 10. 1979) Q 1. Introduction Let X = ( X t , X t , P,) be a right-continuous FELLER process on the interval [O, I] with infinitesimal generator $ of the form (1.1) gm:, = D,DJ(x) + b ( 4 f

On the expected discounted penalty funct
On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
✍ Zhaoyang Lu; Wei Xu; Decai Sun; Weiguo Han 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 710 KB

In this paper, the discounted penalty (Gerber-Shiu) functions for a risk model involving two independent classes of insurance risks under a threshold dividend strategy are developed. We also assume that the two claim number processes are independent Poisson and generalized Erlang (2) processes, resp