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Optimal dividends problem with a terminal value for spectrally positive Levy processes

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  • Chuancun Yin
  • Yuzhen Wen
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    Abstract

    In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spectrally positive Levy processes we give an explicit expression of the value function of a barrier strategy. Subsequently we show that a barrier strategy is the optimal strategy among all admissible ones. Our work is motivated by the recent work of Bayraktar, Kyprianou and Yamazaki (2013).

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    File URL: http://arxiv.org/pdf/1302.6011
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1302.6011.

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    Date of creation: Feb 2013
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    Handle: RePEc:arx:papers:1302.6011

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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, vol. 72(1), pages 129-143, August.
    3. Thonhauser, Stefan & Albrecher, Hansjorg, 2007. "Dividend maximization under consideration of the time value of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 163-184, July.
    4. Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius, 2007. "On the optimal dividend problem for a spectrally negative L\'{e}vy process," Papers math/0702893, arXiv.org.
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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, arXiv.org.

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