Please use this identifier to cite or link to this item: http://cimat.repositorioinstitucional.mx/jspui/handle/1008/617
Convexity and Smoothness of Scale Functions and de Finetti´s Control Problem
VICTOR MANUEL RIVERO MERCADO
Acceso Abierto
Atribución-NoComercial
Procesos de Levy
Motivated by a classical control problem from actuarial mathematics, we study smoothness and convexity properties of q -scale functions for spectrally negative Levy processes. Continuing from the very recent work of [2] and [24] we strengthen their collective conclusions by showing, amongst other results, that whenever the Levy mea- sure has a non-increasing density which is log convex then for q > 0 the scale function W ( q ) is convex on some half line ( a ; 1 ) where a is the largest value at which W ( q ) 0 attains its global minimum. As a consequence we deduce that de Finetti's classical actuarial control problem is solved by a barrier strategy where the barrier is positioned at height.
Centro de Investigación en Matemáticas AC
24-01-2008
Reporte
Inglés
Investigadores
PROCESOS DE MARKOV
Versión publicada
publishedVersion - Versión publicada
Appears in Collections:Reportes Técnicos - Probabilidad y Estadística

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