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On the optimal dividend problem for a spectrally positive Levy process


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  • Chuancun Yin
  • Yuzhen Wen
  • Yongxia Zhao
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    In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to admissible strategy whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that the optimal dividend strategy is formed by a threshold strategy.

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    Paper provided by in its series Papers with number 1302.2231.

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    Date of creation: Feb 2013
    Date of revision: Mar 2014
    Handle: RePEc:arx:papers:1302.2231

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    1. Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias, 2007. "Optimal dividends in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 111-123, July.
    2. Hongshuai Dai & Zaiming Liu & Nana Luan, 2010. "Optimal dividend strategies in a dual model with capital injections," Computational Statistics, Springer, Springer, vol. 72(1), pages 129-143, August.
    3. Bjarne Hø jgaard & Michael Taksar, 1999. "Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(2), pages 153-182.
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    Cited by:
    1. Chuancun Yin & Kam Chuen Yuen, 2014. "Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs," Papers 1409.0407,


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