De Finetti's control problem with parisian ruin for spectrally negative Lévy processes

Artikel

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 show that, under mild assumptions on the Lévy measure, an optimal strategy is formed by a barrier strategy and that this optimal barrier level is always less than the optimal barrier level when classical ruin is implemented. In addition, we give necessary and sufficient conditions for the barrier strategy at level zero to be optimal.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 3 ; Pages: 1-11 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: barrier strategies ; log-convexity ; optimal dividends ; Parisian ruin ; spectrally negative Lévy processes ; stochastic control

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Renaud, Jean-François
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3390/risks7030073
• Handle: http://hdl.handle.net/10419/257911
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ