On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models

DOI10.1017/JPR.2018.85zbMATH Open1419.91380arXiv1801.00088OpenAlexW2962861682MaRDI QIDQ4611286FDOQ4611286

Authors: K. Noba, Kazutoshi Yamazaki, Kouji Yano, José Luis Pérez Garmendia 

Publication date: 17 January 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1801.00088

Recommendations

• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
• Optimal dividends and capital injections for a spectrally positive Lévy process
• Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
• On a spectrally negative Lévy risk process with periodic dividends and capital injections
• Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
• Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
• On optimal periodic dividend strategies for Lévy risk processes
• Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
• scientific article; zbMATH DE number 7266444
• On the optimal dividend problem for a spectrally negative Lévy process

zbMATH Keywords

scale functiondividendscapital injectionspectrally negative Lévy processperiodic barrier strategy

Mathematics Subject Classification ID

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

Cites Work

• On the optimal dividend problem for a spectrally negative Lévy process
• Fluctuations of Lévy processes with applications. Introductory lectures
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Optimal dividends in the dual model under transaction costs
• Randomized onservation periods for the compound Poisson risk model: dividends
• On optimal periodic dividend strategies in the dual model with diffusion
• Optimal dividend-payout in random discrete time
• The theory of scale functions for spectrally negative Lévy processes
• Smoothness of scale functions for spectrally negative Lévy processes
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• Precautionary measures for credit risk management in jump models
• On optimal periodic dividend strategies for Lévy risk processes
• On the optimality of periodic barrier strategies for a spectrally positive Lévy process
• An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
• A closure characterisation of phase-type distributions

Cited In (11)

• Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
• On the bailout dividend problem for spectrally negative Markov additive models
• On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• 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
• Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
• 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

This page was built for publication: On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4611286)