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math.PR2018
On the almost decrease of a subexponential density
Tao Jiang, Yuebao Wang, Zhaolei Cui
For a subexponential density, so far, there has been no positive conclusion or counter example to show whether it is almost decreasing. In this paper, a subexponential density supp…
math.OC2018
Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative Lévy Risk Processes
Wenyuan Wang, Yuebao Wang, Xueyuan Wu
For an insurance company with reserve modeled by the spectrally negative Lévy process, we study the optimal impulse dividend maximizing the expected accumulated net dividend paymen…