Building on a Lucas tree asset pricing model, this paper relates the tail risk of asset prices to the component-density of a Normal-Laplace mixture distribution and proposes a new method to measure extreme event behavior in financial markets. The hidden state of the model represents the underlying state of the macroeconomy, which follows a two-state Markov regime switching process. Conditional ...

For single–period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood–ratio–domina...

We consider the stochastic process of the liquid assets of an insurance company assuming that the management can control this process in two ways: first, the risk exposure can be reduced by affecting reinsurance, but this decreases the premium income. Second, a dividend has to be paid out to the shareholders. The aim is to maximize the expected discounted dividend pay-out until the time of bank...

We consider the optimal dividend problem in so-called degenerate bivariate risk model under assumption that surplus of one branch may become negative. More specific, we solve stochastic control maximizing discounted dividends until simultaneous ruin both branches an insurance company by showing value function satisfies a certain Hamilton–Jacobi–Bellman (HJB) equation. Further, prove is smallest...

In this paper, we consider the mixed ratcheting-periodic dividend strategies for spectrally negative L\'{e}vy risk model, in which payments can both be made continuously without falling and discretely at jump times of an independent Poisson process. The expected net present value(NPV) dividends paid up to ruin Laplace transform time are obtained by using fluctuation theory. All results expresse...

This paper analyzes the effect of repatriation taxes on dividend payments by the foreign affiliates of American multinational firms. The United States taxes the foreign incomes of American companies, grants credits for any foreign income taxes paid, and defers any taxes due on the unrepatriated earnings for those affiliates that are separately incorporated abroad. This system thereby imposes re...