On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
From MaRDI portal
Publication:506083
DOI10.1016/J.INSMATHECO.2016.10.010zbMATH Open1394.91185arXiv1607.01902OpenAlexW2464313456MaRDI QIDQ506083FDOQ506083
Authors: Benjamin Avanzi, Bernard Wong, Kazutoshi Yamazaki, José Luis Pérez Garmendia 
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for bounded and unbounded payout rates, respectively. In this paper, motivated by the behaviour of some dividend paying stock exchange companies, we determine the optimal dividend strategy when both continuous (refractive) and lump sum (reflective) dividends can be paid at any time, and if they are subject to different transaction rates. We consider the general family of spectrally positive L'evy processes. Using scale functions, we obtain explicit formulas for the expected present value of dividends until ruin, with a penalty at ruin. We develop a verification lemma, and show that a two-layer (a,b) strategy is optimal. Such a strategy pays continuous dividends when the surplus exceeds level a>0, and all of the excess over b>a as lump sum dividend payments. Results are illustrated.
Full work available at URL: https://arxiv.org/abs/1607.01902
Recommendations
- ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
- On optimal dividends in the dual model
- On the optimality of the refraction-reflection strategies for Lévy processes
- On the optimality of periodic barrier strategies for a spectrally positive Lévy process
- Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
Cites Work
- Ruin probabilities
- Introductory lectures on fluctuations of Lévy processes with applications.
- Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Dividend problems in the dual risk model
- Russian and American put options under exponential phase-type Lévy models.
- On optimal dividends in the dual model
- Title not available (Why is that?)
- Optimal dividends in the dual model
- Optimal dividends in the dual model under transaction costs
- Optimizing venture capital investments in a jump diffusion model
- Strategies for dividend distribution: a review
- A risk model with multilayer dividend strategy
- Optimality results for dividend problems in insurance
- A link between wave governed random motions and ruin processes
- Title not available (Why is that?)
- Refracted Lévy processes
- On optimal dividends: from reflection to refraction
- 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
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Optimality of refraction strategies for spectrally negative Lévy processes
- Optimal dividends and capital injections in the dual model with diffusion
- On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains
- Refraction-reflection strategies in the dual model
Cited In (12)
- The dual risk model with dividends taken at arrival
- A dual risk model with additive and proportional gains: ruin probability and dividends
- Stable dividends under linear-quadratic optimisation
- Dividend and capital injection optimization with transaction cost for Lévy risk processes
- Dividends: from refracting to ratcheting
- A Lévy risk model with ratcheting and barrier dividend strategies
- A Lévy risk model with ratcheting dividend strategy and historic high-related stopping
- A refracted Lévy process with delayed dividend pullbacks
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
- Optimality of refraction strategies for a constrained dividend problem
- Optimality of multi-refraction control strategies in the dual model
- On the bail-out optimal dividend problem
This page was built for publication: On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q506083)
