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- W2949409534 abstract "We consider de Finetti's stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Levy model with exponential Parisian ruin. We show that, under mild assumptions on the Levy measure, an optimal strategy is formed by a barrier strategy and that this optimal barrier level is always less than the optimal barrier level when classical ruin is implemented. Also, we give necessary and sufficient conditions for the barrier strategy at level zero to be optimal." @default.
- W2949409534 created "2019-06-27" @default.
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- W2949409534 date "2019-06-12" @default.
- W2949409534 modified "2023-09-27" @default.
- W2949409534 title "De Finetti's control problem with Parisian ruin for spectrally negative L'evy processes" @default.
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