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An optimal dividends problem with transaction costs for spectrally negative Lévy processes

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  1. Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2014. "Optimal dividends in the dual model under transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 133-143.
  2. Avanzi, Benjamin & Lau, Hayden & Wong, Bernard, 2020. "Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 315-332.
  3. Benjamin Avanzi & Hayden Lau & Bernard Wong, 2020. "Optimal periodic dividend strategies for spectrally positive L\'evy risk processes with fixed transaction costs," Papers 2003.13275, arXiv.org, revised May 2020.
  4. Kazutoshi Yamazaki, 2017. "Phase-type Approximation of the Gerber-Shiu Function," Papers 1701.02798, arXiv.org.
  5. Masahiko Egami & Kazutoshi Yamazaki, 2010. "Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions," Discussion papers e-10-011, Graduate School of Economics Project Center, Kyoto University.
  6. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums," Journal of Optimization Theory and Applications, Springer, vol. 168(2), pages 723-742, February.
  7. Yao, Dingjun & Yang, Hailiang & Wang, Rongming, 2011. "Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs," European Journal of Operational Research, Elsevier, vol. 211(3), pages 568-576, June.
  8. Wenyuan Wang & Xiang Yu & Xiaowen Zhou, 2021. "On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy," Papers 2108.01800, arXiv.org, revised Nov 2023.
  9. Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
  10. Renaud, Jean-François, 2024. "A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin," Statistics & Probability Letters, Elsevier, vol. 206(C).
  11. Xiaoqing Liang & Zbigniew Palmowski, 2016. "A note on optimal expected utility of dividend payments with proportional reinsurance," Papers 1605.06849, arXiv.org, revised May 2017.
  12. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
  13. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
  14. Wenyuan Wang & Yuebao Wang & Ping Chen & Xueyuan Wu, 2022. "Dividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes," Journal of Optimization Theory and Applications, Springer, vol. 194(3), pages 924-965, September.
  15. Xiaoxiao Zheng & Xin Zhang, 2014. "Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy," Papers 1406.7606, arXiv.org.
  16. Hernández, Camilo & Junca, Mauricio & Moreno-Franco, Harold, 2018. "A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 57-68.
  17. Jos'e-Luis P'erez & Kazutoshi Yamazaki & Alain Bensoussan, 2018. "Optimal periodic replenishment policies for spectrally positive L\'evy demand processes," Papers 1806.09216, arXiv.org, revised Sep 2020.
  18. Czarna, Irmina & Pérez, José-Luis & Yamazaki, Kazutoshi, 2018. "Optimality of multi-refraction control strategies in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 148-160.
  19. Kazutoshi Yamazaki, 2016. "Optimality of two-parameter strategies in stochastic control," Papers 1605.04995, arXiv.org.
  20. Wenyuan Wang & Xueyuan Wu & Cheng Chi, 2019. "Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes," Papers 1910.08158, arXiv.org.
  21. Gajek, Lesław & Kuciński, Łukasz, 2017. "Complete discounted cash flow valuation," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 1-19.
  22. Ewa Marciniak & Zbigniew Palmowski, 2018. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 533-552, November.
  23. Xu, Ran & Woo, Jae-Kyung, 2020. "Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 1-16.
  24. Camilo Hernandez & Mauricio Junca & Harold Moreno-Franco, 2016. "A time of ruin constrained optimal dividend problem for spectrally one-sided L\'evy processes," Papers 1608.02550, arXiv.org, revised May 2017.
  25. Yin, Chuancun & Wen, Yuzhen, 2013. "Optimal dividend problem with a terminal value for spectrally positive Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 769-773.
  26. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers 1605.04584, arXiv.org.
  27. Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi & Yano, Kouji, 2018. "On optimal periodic dividend strategies for Lévy risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 29-44.
  28. Kei Noba & Jos'e-Luis P'erez & Kazutoshi Yamazaki & Kouji Yano, 2017. "On optimal periodic dividend strategies for L\'evy risk processes," Papers 1708.01678, arXiv.org, revised Feb 2018.
  29. Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013. "Default swap games driven by spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 347-384.
  30. Zbigniew Palmowski & José Luis Pérez & Budhi Arta Surya & Kazutoshi Yamazaki, 2020. "The Leland–Toft optimal capital structure model under Poisson observations," Finance and Stochastics, Springer, vol. 24(4), pages 1035-1082, October.
  31. Julia Eisenberg & Zbigniew Palmowski, 2020. "Optimal Dividends Paid in a Foreign Currency for a L\'evy Insurance Risk Model," Papers 2001.03733, arXiv.org.
  32. Loeffen, Ronnie L. & Renaud, Jean-François, 2010. "De Finetti's optimal dividends problem with an affine penalty function at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 98-108, February.
  33. Martin Hunting & Jostein Paulsen, 2013. "Optimal dividend policies with transaction costs for a class of jump-diffusion processes," Finance and Stochastics, Springer, vol. 17(1), pages 73-106, January.
  34. Mauricio Junca & Harold A. Moreno-Franco & José Luis Pérez, 2019. "Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint," Risks, MDPI, vol. 7(1), pages 1-24, January.
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