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A dividend is paid and negative surplus is allowed. Then the surplus becomes \\(X_t^D = X_t^0 - D_t\\), where the accumulated dividends \\(D\\) is a non-decreasing process such that \\(D_{0-} = 0\\). Higher surplus is preferred to lower surplus, thus a penalty \\(\\phi(X_t^D)\\) is added, and the value of the dividend strategy becomes  \\[ V^D(x) = E\\Bigl[ \\int_0^\\infty e^{-\\delta t} \\;d D_t - \\int_0^\\infty e^{-\\delta t} \\phi(X_t^D)\\;d t\\Bigr]\\;. \\]  \\(\\delta> 0\\) is a preference parameter giving more weight to the present than to the far future. The goal is to maximize \\(V^D\\); \\(V(x) = \\sup_D V^D(x)\\). The penalty function should be continuous, non-increasing, positive and convex. Under these conditions, the optimal dividend strategy is a barrier strategy. \\(V(x)\\) fulfills the Hamilton-Jacobi-Bellman equation  \\[  \\max \\Bigl\\{ c V'(x) + \\lambda \\int_0^\\infty V(x-y)\\;d F(y) - (\\lambda+\\delta) V(x) - \\phi(x),\\; 1 - V'(x)\\Bigr\\} = 0\\;, \\]  where \\(c\\) is the premium rate, \\(\\lambda\\) is the claim intensity and \\(F\\) is the claim size distribution. As examples, exponentially distributed claim sizes in the cases \\(\\phi(x) = \\alpha e^{-\\beta x}\\) and \\(\\phi(x) = -\\alpha x 1_{x < 0}\\) are explicitly 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