5 papers
Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
Irmina Czarna, Adam Kaszubowski
In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted Lévy process and the ruin time is considered w…
Fluctuation identities for omega-killed Markov additive processes and dividend problem
Irmina Czarna, Adam Kaszubowski, Shu Li +1
In this paper we solve the exit problems for an one-sided Markov additive process (MAP) which is exponentially killed with a bivariate killing intensity dependent…
Optimality of multi-refraction dividend strategies in the dual model
Irmina Czarna, José Luis Pérez, Kazutoshi Yamazaki
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant…
Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process
Irmina Czarna, Yanhong Li, Zbigniew Palmowski +1
In this paper we consider a classical risk process perturbed by a Brownian motion. We analyze the value function describing the mean of the cumulative discounted dividend payments…
The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
Irmina Czarna, Yanhong Li, Zbigniew Palmowski +1
In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk…