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Optimal barrier strategy for spectrally negative Lévy process discounted by a class of exponential Lévy processes

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  • Jiang, Huanqun

Abstract

In this paper, we extend the optimality of the barrier strategy for the dividend payment problem to the setting that the underlying surplus process is a spectrally negative Lévy process and the discounting factor is an exponential Lévy process. The proof of the main result uses the fluctuation identities of spectrally negative Lévy processes. This extends recent results of Eisenberg for the case where the accumulated interest rate and surplus process are independent Brownian motions with drift.

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  • Jiang, Huanqun, 2018. "Optimal barrier strategy for spectrally negative Lévy process discounted by a class of exponential Lévy processes," Annals of Actuarial Science, Cambridge University Press, vol. 12(2), pages 326-337, September.
    • Handle: RePEc:cup:anacsi:v:12:y:2018:i:02:p:326-337_00
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    Cited by:

    1. Elena Bandini & Tiziano De Angelis & Giorgio Ferrari & Fausto Gozzi, 2022. "Optimal dividend payout under stochastic discounting," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 627-677, April.

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