Optimal dividend policy with self-exciting claims in the Gamma–Omega model
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DOI: 10.1016/j.frl.2024.106162
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More about this item
Keywords
Dynamic programming; Self-exciting Hawkes process; Gamma–Omega model; Optimal dividend strategy;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
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