On optimality of the barrier strategy for a general Lévy risk process

DOI10.1016/J.MCM.2010.12.042MaRDI QIDQ636448zbMATHOpenAlexFDO

Authors Kam Chuen Yuen, Chuancun Yin

Publication date 28 August 2011

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.0447

zbMATH Keywords

scale functionbarrier strategycomplete monotonicityoptimal dividend problemprobability of ruinLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give sufficient conditions under which the optimal strategy is of barrier type. In particular, we show that if the Levy density is a completely monotone function, then the optimal dividend strategy is a barrier strategy. This approach was inspired by the work of Avram et al. (2007) [Annals of Applied Probability 17, 156-180], Loeffen (2008) [Annals of Applied Probability 18, 1669-1680] and Kyprianou et al. (2010) [Journal of Theoretical Probability 23, 547-564] in which the same problem was considered under the spectrally negative Levy processes setting.

Recommendations

• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• On optimal periodic dividend strategies for Lévy risk processes
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes

Cites work

• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
• Authors’ Reply: On Optimal Dividend Strategies in the Compound Poisson Model - Discussion by Hansjörg Albrecher; Stefan Thonhauser; Bangwon Ko; Nathaniel Smith; Chuancun Yin; Xiaowen Zhou
• Convexity and smoothness of scale functions and de Finetti's control problem
• Cramér's estimate for Lévy processes
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• First passage times of a jump diffusion process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Log-concave probability and its applications
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal dividend policy and growth option
• Optimal dividend strategies for a risk process under force of interest
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
• Russian and American put options under exponential phase-type Lévy models.
• Smoothness of scale functions for spectrally negative Lévy processes
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Wiener-Hopf Factorization of Diffusions and Lévy Processes

Cited in

(15)

• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• A hyper-exponential jump-diffusion model under the barrier dividend strategy
• Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
• On the optimality of periodic barrier strategies for a spectrally positive Lévy process
• A Lévy risk model with ratcheting dividend strategy and historic high-related stopping
• Portfolio strategy of financial market with regime switching driven by geometric Lévy process
• The exit time and the dividend value function for one-dimensional diffusion processes
• A Lévy risk model with ratcheting and barrier dividend strategies
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
• Spectrally negative Lévy risk model under Erlangized barrier strategy
• Constant barrier strategies in a two-state Markov-modulated dual risk model
• Stochastic averaging principles for multi-valued stochastic differential equations driven by Poisson point processes
• Stochastic transitions in the Schlögl reaction model with nonextensive statistical noise and Gaussian white noise

This page was built for publication: On optimality of the barrier strategy for a general Lévy risk process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q636448)