Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem

On the optimal dividend problem for a spectrally negative Lévy process

Florin Avram, Zbigniew Palmowski, Martijn Pistorius · The Annals of Applied Probability · 2007 · 318 citations · Full text

Business, Economics, Insurance +12

Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

Florin Avram, Andreas E. Kyprianou, Martijn Pistorius · The Annals of Applied Probability · 2004 · 287 citations · Full text

Engineering, Finance, Financial Economics +16

On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes

Ronnie Loeffen · The Annals of Applied Probability · 2008 · 227 citations · Full text

Business, Economics, Finance +10

Smoothness of scale functions for spectrally negative Lévy processes

Terence Chan, Andreas E. Kyprianou, Mladen Savov · Probability Theory and Related Fields · 2010 · 176 citations · Full text

Engineering, Mathematics, Probability Theory +12

Ruin probabilities and overshoots for general Lévy insurance risk processes

The Annals of Applied Probability · 2004 · 161 citations · Full text

Engineering, Insurance, Risk Management +17