5 citations · 7 across the 12 of their papers we have counts for
5 papers · 1 filter
On De Finetti's control under Poisson observations: optimality of a double barrier strategy in a Markov additive model
Lijun Bo, Wenyuan Wang, Kaixin Yan
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and cap…
Optimal dividend and capital injection under spectrally positive Markov additive models
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first s…
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
Wenyuan Wang, Xiang Yu, Xiaowen Zhou
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization proc…
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Mi Chen, Kam Chuen Yuen, Wenyuan Wang
In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cramér-Lundberg risk model embedded with the thinning-dependence structure whi…
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…