Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
Joint Authors
Shen, Ying
Yuen, Kam Chuen
Yin, Chuancun
Source
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-08-13
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Medicine
Information Technology and Computer Science
Abstract EN
We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps.
The objective is to find a policy which maximizes the expected discounted dividends until the time of ruin.
Under appropriate conditions, we use some recent results in the theory of potential analysis of subordinators to obtain the convexity properties of probability of ruin.
We present conditions under which the optimal dividend strategy, among all admissible ones, takes the form of a barrier strategy.
American Psychological Association (APA)
Yin, Chuancun& Yuen, Kam Chuen& Shen, Ying. 2015. Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process. The Scientific World Journal،Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1078697
Modern Language Association (MLA)
Yin, Chuancun…[et al.]. Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process. The Scientific World Journal No. 2015 (2015), pp.1-9.
https://search.emarefa.net/detail/BIM-1078697
American Medical Association (AMA)
Yin, Chuancun& Yuen, Kam Chuen& Shen, Ying. Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process. The Scientific World Journal. 2015. Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1078697
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1078697