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

DOI10.1016/J.MCM.2010.12.042zbMATH Open1219.91076arXiv1101.0447OpenAlexW2057162044MaRDI QIDQ636448FDOQ636448

Authors: Kam Chuen Yuen, Chuancun Yin 

Publication date: 28 August 2011

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

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.

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

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zbMATH Keywords

scale functionbarrier strategycomplete monotonicityoptimal dividend problemprobability of ruinLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited In (14)

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

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