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

DOI10.1016/J.INSMATHECO.2020.05.012zbMATH Open1447.91126arXiv2003.13275OpenAlexW4233616496MaRDI QIDQ784453FDOQ784453

Authors: Benjamin Avanzi, Hayden Lau, Bernard Wong 

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: We consider the general class of spectrally positive L'evy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot be paid at any time in real life, we study $extitperiodic$ dividend strategies whereby dividend decisions are made according to a separate arrival process. In this paper, we investigate the impact of fixed transaction costs on the optimal periodic dividend strategy, and show that a periodic $(b_u,b_l)$ strategy is optimal when decision times arrive according to an independent Poisson process. Such a strategy leads to lump sum dividends that bring the surplus back to $b_l$ as long as it is no less than $b_u$ at a dividend decision time. The expected present value of dividends (net of transaction costs) is provided explicitly with the help of scale functions. Results are illustrated.

Full work available at URL: https://arxiv.org/abs/2003.13275

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zbMATH Keywords

dual risk modelSPLPoptimal dividendsfixed transaction costsperiodic dividends

Mathematics Subject Classification ID

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

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Cited In (9)

• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
• On the optimality of joint periodic and extraordinary dividend strategies
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
• On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics
• Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin

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