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math.PR2023
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin
Félix Locas, Jean-François Renaud
We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative Lévy model with Parisian ruin as the termination time. The problem…
math.PR2016
Parisian ruin for a refracted Lévy process
Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud
In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. More general Parisian boundary-crossing probl…