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On the bailout dividend problem with periodic dividend payments and fixed transaction costs

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  • Moreno-Franco, Harold A.
  • Pérez, José-Luis

Abstract

We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts are made at the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally negative Lévy process. Our analysis confirms the optimality of a periodic (b1, b2)-barrier policy with classical reflection at zero. This strategy involves reducing the surplus to b1 when it exceeds b2 at the Poisson arrival times and pushes the surplus to zero whenever it becomes negative.

Suggested Citation

  • Moreno-Franco, Harold A. & Pérez, José-Luis, 2026. "On the bailout dividend problem with periodic dividend payments and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:insuma:v:126:y:2026:i:c:s0167668725001295
    DOI: 10.1016/j.insmatheco.2025.103182
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    References listed on IDEAS

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