Optimality of refraction strategies for a constrained dividend problem
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Abstract: We consider de Finetti's problem for spectrally one-sided L'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of ruin. To characterize the solution to the aforementioned models, we first solve the optimal dividend problem with a terminal value at ruin and show the optimality of threshold strategies. Next, we introduce the dual Lagrangian problem and show that the complementary slackness conditions are satisfied, characterizing the optimal Lagrange multiplier. Finally, we illustrate our findings with a series of numerical examples.
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Cited in
(7)- Optimality of multi-refraction control strategies in the dual model
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
- Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
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