On the Optimal Dividend Problem for a Spectrally Negative Lévy Process
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes t...
| Veröffentlicht in: | The Annals of Applied Probability. - Institute of Mathematical Statistics. - 17(2007), 1, Seite 156-180 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Zugriff auf das übergeordnete Werk: | The Annals of Applied Probability |
| Schlagworte: | Lévy process Dividend problem Local time Reflection Scale function Fluctuation theory Economics Mathematics Business Physical sciences |
| Online verfügbar |
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