Optimal dividend problem with a terminal value for spectrally positive Lévy processes

DOI10.1016/J.INSMATHECO.2013.09.019zbMATH Open1290.91176arXiv1302.6011OpenAlexW2964250568MaRDI QIDQ2015644FDOQ2015644

Yuzhen Wen, Chuancun Yin

Publication date: 23 June 2014

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

Abstract: In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spectrally positive Levy processes we give an explicit expression of the value function of a barrier strategy. Subsequently we show that a barrier strategy is the optimal strategy among all admissible ones. Our work is motivated by the recent work of Bayraktar, Kyprianou and Yamazaki (2013).

Full work available at URL: https://arxiv.org/abs/1302.6011

zbMATH Keywords

stochastic controlbarrier strategydual modelscale functionsoptimal dividend strategyspectrally positive Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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Cited In (71)

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