8 citations · 15 across the 12 of their papers we have counts for
12 papers
Optimization of capital injections and absolutely continuous dividend payments in a diffusion model
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We investigate a joint optimization problem of dividend payments and capital injections for a surplus process driven by a general diffusion. Dividend payments are assumed to be abs…
Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities
Hélène Guérin, Michel Mandjes, Jean-François Renaud +1
Epidemic dynamics introduce time-varying heterogeneity into insured populations, as individuals' risk profiles depend on their evolving health status, thereby challenging classical…
A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin
Jean-François Renaud
In this note, merging ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally ne…
A stochastic control problem with linearly bounded control rates in a Brownian model
Jean-François Renaud, Clarence Simard
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected…
De Finetti's control problem with Parisian ruin for spectrally negative Lévy processes
Jean-François Renaud
We consider de Finetti's stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized versi…
Pricing occupation-time options in a mixed-exponential jump-diffusion model
Djilali Ait Aoudia, Jean-François Renaud
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponen…