De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes

De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes

We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Lévy model with exponential Parisian ruin. We sho...

Full description

Bibliographic Details
Main Author: Jean-François Renaud
Format: Article
Language:English
Published: MDPI AG 2019-07-01
Series:Risks
Subjects:
stochastic control
spectrally negative Lévy processes
optimal dividends
Parisian ruin
log-convexity
barrier strategies
Online Access:https://www.mdpi.com/2227-9091/7/3/73

Internet

https://www.mdpi.com/2227-9091/7/3/73

Similar Items