Optimal dividends in the dual model under transaction costs

DOI10.1016/J.INSMATHECO.2013.11.007zbMATH Open1294.91071arXiv1301.7525OpenAlexW2069651886MaRDI QIDQ2015482FDOQ2015482

Kazutoshi Yamazaki, A. E. Kyprianou, Erhan Bayraktar

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive L'{e}vy process, an optimal strategy is given by a $(c_1,c_2)$-policy that brings the surplus process down to $c_1$ whenever it reaches or exceeds $c_2$ for some $0leq{c}_1<c_2$. The value function is succinctly expressed in terms of the scale function. A series of numerical examples are provided to confirm the analytical results and to demonstrate the convergence to the no-transaction cost case, which was recently solved by Bayraktar et al. (2013).

Full work available at URL: https://arxiv.org/abs/1301.7525

zbMATH Keywords

dual modelscale functionsdividendsimpulse control[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=spectrally+positive+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go spectrally positive L��vy processes]

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)

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