Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
Zhengjun Jiang
| Year of publication: |
2019
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|---|---|
| Authors: | Jiang, Zhengjun |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 86.2019, p. 1-7
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| Subject: | Optimal dividend policy | Markov-modulated jump-diffusion process | Completely monotone jump density | q-scale functions | Fixed point theorem | Dividende | Dividend | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Risiko | Risk | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.01.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058679