Optimal dividend problem with a terminal value for spectrally positive Lévy processes
Work
Year: 2013
Type: article
Abstract: In this paper we consider a modified version of the classical optimal dividend problem taking into account both expected dividends and the time value of ruin. We assume that the risk process is modele... more
Authors Chuancun Yin, Yuzhen Wen
Institution Qufu Normal University
Cites: 34
Cited by: 122
Related to: 10
FWCI: 6.018
Citation percentile (by year/subfield): 96.69
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,960
Funders National Natural Science Foundation of China, Specialized Research Fund for the Doctoral Program of Higher Education of China
Grant IDS 11171179, 20133705110002