Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs

DOI10.1080/03461238.2020.1869069zbMATH Open1476.91119arXiv2004.01838OpenAlexW3013049684MaRDI QIDQ5014491FDOQ5014491

Authors: Benjamin Avanzi, Hayden Lau, Bernard Wong 

Publication date: 8 December 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Abstract: Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $extitperiodic$ dividend strategies were recently introduced (Albrecher, Gerber and Shiu, 2011). In this paper, we incorporate fixed transaction costs into the model and study the optimal periodic dividend strategy with fixed transaction costs for spectrally negative L'evy processes. The value function of a periodic $(b_u,b_l)$ strategy is calculated by means of exiting identities and It^o's excusion when the surplus process is of unbounded variation. We show that a sufficient condition for optimality is that the L'evy measure admits a density which is completely monotonic. Under such assumptions, a periodic $(b_u,b_l)$ strategy is confirmed to be optimal. Results are illustrated.

Full work available at URL: https://arxiv.org/abs/2004.01838

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zbMATH Keywords

fixed transaction costsoptimal periodic dividendsSNLP

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

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Cited In (12)

• Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
• On the optimality of joint periodic and extraordinary dividend strategies
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• On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

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