Optimal dividends in the dual model under transaction costs

DOI10.1016/J.INSMATHECO.2013.11.007MaRDI QIDQ2015482zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, A. E. Kyprianou, Kazutoshi Yamazaki

Publication date 23 June 2014

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

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

zbMATH Keywords

dual modelscale functionsdividendsimpulse controlspectrally positive Lévy processes

Mathematics Subject Classification ID

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

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).

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Cited in

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