22 citations · 144 across the 21 of their papers we have counts for
4 papers · 1 filter
On the surplus management of funds with assets and liabilities in presence of solvency requirements
Benjamin Avanzi, Ping Chen, Lars Frederik Brandt Henriksen +1
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determi…
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
Benjamin Avanzi, Hayden Lau, Bernard Wong
Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, div…
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
Benjamin Avanzi, Hayden Lau, Bernard Wong
We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes ar…
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Benjamin Avanzi, José-Luis Pérez, Bernard Wong +1
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and…