11 research outputs found
First passage problems for upwards skip-free random walks via the paradigm
We develop the theory of the and scale functions for right-continuous
(upwards skip-free) discrete-time discrete-space random walks, along the lines
of the analogue theory for spectrally negative L\'evy processes. Notably, we
introduce for the first time in this context the one and two-parameter scale
functions , which appear for example in the joint problem of deficit at ruin
and time of ruin, and in problems concerning the walk reflected at an upper
barrier. Comparisons are made between the various theories of scale functions
as one makes time and/or space continuous. The theory is shown to be fruitful
by providing a convenient unified framework for studying dividends-capital
injection problems under various objectives, for the so-called compound
binomial risk model of actuarial science.Comment: 27 page
Markov Decision Processes with Risk-Sensitive Criteria: An Overview
The paper provides an overview of the theory and applications of
risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here
to the use of the Optimized Certainty Equivalent as a means to measure
expectation and risk. This comprises the well-known entropic risk measure and
Conditional Value-at-Risk. We restrict our considerations to stationary
problems with an infinite time horizon. Conditions are given under which
optimal policies exist and solution procedures are explained. We present both
the theory when the Optimized Certainty Equivalent is applied recursively as
well as the case where it is applied to the cumulated reward. Discounted as
well as non-discounted models are reviewe
On the optimality of joint periodic and extraordinary dividend strategies
In this paper, we model the cash surplus (or equity) of a risky business with
a Brownian motion. Owners can take cash out of the surplus in the form of
"dividends", subject to transaction costs. However, if the surplus hits 0 then
ruin occurs and the business cannot operate any more.
We consider two types of dividend distributions: (i) periodic, regular ones
(that is, dividends can be paid only at countable many points in time,
according to a specific arrival process); and (ii) extraordinary dividend
payments that can be made immediately at any time (that is, the dividend
decision time space is continuous and matches that of the surplus process).
Both types of dividends attract proportional transaction costs, and
extraordinary distributions also attracts fixed transaction costs, a realistic
feature. A dividend strategy that involves both types of distributions
(periodic and extraordinary) is qualified as "hybrid".
We determine which strategies (either periodic, immediate, or hybrid) are
optimal, that is, we show which are the strategies that maximise the expected
present value of dividends paid until ruin, net of transaction costs.
Sometimes, a liquidation strategy (which pays out all monies and stops the
process) is optimal. Which strategy is optimal depends on the profitability of
the business, and the level of (proportional and fixed) transaction costs.
Results are illustrated