On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

DOI10.1214/07-AAP504zbMATH Open1152.60344arXiv0811.1862MaRDI QIDQ957513FDOQ957513

Authors: Ronnie Loeffen 

Publication date: 27 November 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180] studied the case when the risk process is modeled by a general spectrally negative L'{e}vy process. We draw upon their results and give sufficient conditions under which the optimal strategy is of barrier type, thereby helping to explain the fact that this particular strategy is not optimal in general. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.

Full work available at URL: https://arxiv.org/abs/0811.1862

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zbMATH Keywords

scale functionstochastic controlcomplete monotonicitydividend problemLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes (60J99) Optimal stochastic control (93E20)

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