Optimality of refraction strategies for a constrained dividend problem
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DOI: 10.1017/apr.2019.32
Abstract: Abstract We consider de Finetti’s problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the… read more here.
Keywords: optimality refraction; refraction strategies; dividend problem; problem ... See more keywords