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- Andreas E Kyprianou, Víctor Rivero, Renming Song
- 2008

We continue the recent work of [2] and [25] by showing that whenever the Lévy measure of a spectrally negative Lévy process has a density which is log convex then the solution of the associated actuarial control problem of de Finetti is solved by a barrier strategy. Moreover, the level of the barrier can be identified in terms of the scale function of the… (More)

Recently Kifer (2000) introduced the concept of an Israeli (or Game) option. That is a general American-type option with the added possibility that the writer may terminate the contract early inducing a payment exceeding the holder's claim had they exercised at that moment. Kifer shows that pricing and hedging of these options reduces to evaluating an… (More)

We revisit the previous work of Leland [13], Leland and Toft [12] and Hilberink and Rogers [8] on optimal capital structure and show that the issue of an optimal endogenous default level can be dealt with analytically and numerically when the underlying source of randomness is replaced by that of a general spectrally negative Lévy process. By working with… (More)

In the setting of the classical Cramér-Lundberg risk insurance model, Albrecher and Hipp [1] introduced the idea of tax payments. More precisely, if X = {X t : t ≥ 0} represents the Cramér-Lundberg process and, for all t ≥ 0, S t = sup s≤t X s , then [1] study X t − γS t , t ≥ 0, where γ ∈ (0, 1) is the rate at which tax is paid. This model has been… (More)

In the last few years there has been renewed interest in the classical control problem of de Finetti [10] for the case that underlying source of randomness is a spectrally negative Lévy process. In particular a significant step forward is made in [25] where it is shown that a natural and very general condition on the underlying Lévy process which allows one… (More)

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