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5 papers · 2 filters
A two-dimensional ruin problem on the positive quadrant
Florin Avram, Zbigniew Palmowski, Martijn Pistorius
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of th…
A Singular Control Model with Application to the Goodwill Problem
Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…
Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
Claudio Albanese, Alexey Kuznetsov
We propose a new classification scheme for diffusion processes for which the backward Kolmogorov equation is solvable in analytically closed form by reduction to hypergeometric equ…
An explicit Skorokhod embedding for spectrally negative Levy processes
Jan Obloj, Martijn Pistorius
We present an explicit solution to the Skorokhod embedding problem for spectrally negative Lévy processes. Given a process and a target measure satisfying an explicit admis…
On the optimal dividend problem for a spectrally negative Lévy process
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments…