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math.PR2008★ 227 cited
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
R. L. Loeffen
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski…
math.PR2008★ 1 cited
Refracted Levy processes
Andreas E. Kyprianou, Ronnie Loeffen
Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change b…