On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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Publication:4611286
Abstract: De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers the version with bail-outs where the surplus must be nonnegative uniformly in time. For a general spectrally negative L'evy model, we show the optimality of a Parisian-classical reflection strategy that pays the excess above a given barrier at each Poisson arrival times and also reflects from below at zero in the classical sense.
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- Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
- On optimal periodic dividend strategies for Lévy risk processes
- Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
- Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
- On a spectrally negative Lévy risk process with periodic dividends and capital injections
- On the bail-out optimal dividend problem
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