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Search: subject:"Meromorphic Lévy processes"
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De Finetti’s dividend problem
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Meromorphic Lévy processes
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Scale functions
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Spectrally negative Lévy processes
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phase-type models
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Egami, Masahiko
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Yamazaki, Kazutoshi
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Graduate School of Economics, Kyoto University
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Discussion papers / Graduate School of Economics, Kyoto University
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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
with phase-type jumps as well as
meromorphic
Lévy
processes
(Kuznetsov et al., 2010a), and use their scale functions to …
Persistent link: https://www.econbiz.de/10011067502
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