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math.PR2018
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…
math.PR2018
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…