17 citations · 48 across the 5 of their papers we have counts for
Showing math.OCShow all
3 papers · 1 filter
math.OC2022
Optimal reinsurance design under solvency constraints
Benjamin Avanzi, Hayden Lau, Mogens Steffensen
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio probl…
math.OC2020★ 12 cited
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…
math.OC2020★ 6 cited
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…