A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
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Publication:1742706
Abstract: We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in cite{HJ15}, now in context of one-sided L'evy risk models. We consider de Finetti's problem in both scenarios with and without fix transaction costs, e.g. taxes. We also study the constrained analog to the so called Dual model. To characterize the solution to the aforementioned models we introduce the dual problem and show that the complementary slackness conditions are satisfied and therefore there is no duality gap. As a consequence the optimal value function can be obtained as the pointwise infimum of auxiliary value functions indexed by Lagrange multipliers. Finally, we illustrate our findings with a series of numerical examples.
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Cited in
(11)- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
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- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
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