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  • Search: subject:"De Finetti’s dividend problem"
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Year of publication
Subject
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De Finetti’s dividend problem 1 Meromorphic Lévy processes 1 Scale functions 1 Spectrally negative Lévy processes 1 phase-type models 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Egami, Masahiko 1 Yamazaki, Kazutoshi 1
Institution
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Graduate School of Economics, Kyoto University 1
Published in...
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Discussion papers / Graduate School of Economics, Kyoto University 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions
Egami, Masahiko; Yamazaki, Kazutoshi - Graduate School of Economics, Kyoto University - 2010
The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative Lévy model where the implementation of optimal strategies draws upon the computation of scale functions and their derivatives. This paper proposes a phase-type fitting approximation of the...
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