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Article: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Title | Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes |
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Authors | |
Keywords | Spectrally negative Lévy process Optimal dividend problem Scale function Complete monotonicity Threshold strategy |
Issue Date | 2013 |
Publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10255/ |
Citation | Acta Mathematicae Applicatae Sinica, 2013, v. 29 n. 4, p. 705-716 How to Cite? |
Abstract | Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Lévy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy (also called refraction strategy) forms an optimal strategy under the condition that the Lévy measure has a completely monotone density. |
Persistent Identifier | http://hdl.handle.net/10722/200926 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.269 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Shen, Y | - |
dc.contributor.author | Yin, C | - |
dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2014-08-21T07:07:12Z | - |
dc.date.available | 2014-08-21T07:07:12Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Acta Mathematicae Applicatae Sinica, 2013, v. 29 n. 4, p. 705-716 | - |
dc.identifier.issn | 0168-9673 | - |
dc.identifier.uri | http://hdl.handle.net/10722/200926 | - |
dc.description.abstract | Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Lévy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy (also called refraction strategy) forms an optimal strategy under the condition that the Lévy measure has a completely monotone density. | - |
dc.language | eng | - |
dc.publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10255/ | - |
dc.relation.ispartof | Acta Mathematicae Applicatae Sinica | - |
dc.rights | The final publication is available at Springer via http://dx.doi.org/10.1007/s10255-013-0248-9 | - |
dc.subject | Spectrally negative Lévy process | - |
dc.subject | Optimal dividend problem | - |
dc.subject | Scale function | - |
dc.subject | Complete monotonicity | - |
dc.subject | Threshold strategy | - |
dc.title | Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s10255-013-0248-9 | - |
dc.identifier.scopus | eid_2-s2.0-84891124360 | - |
dc.identifier.hkuros | 235003 | - |
dc.identifier.volume | 29 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 705 | - |
dc.identifier.epage | 716 | - |
dc.identifier.isi | WOS:000326846900004 | - |
dc.publisher.place | Germany | - |
dc.identifier.issnl | 0168-9673 | - |