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Optimal dividends in the dual model under transaction costs

  • Bayraktar, Erhan
  • Kyprianou, Andreas E.
  • Yamazaki, Kazutoshi

We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a (c1,c2)-policy that brings the surplus process down to c1 whenever it reaches or exceeds c2 for some 0≤c1

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 54 (2014)
Issue (Month): C ()
Pages: 133-143

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Handle: RePEc:eee:insuma:v:54:y:2014:i:c:p:133-143
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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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. Loeffen, R.L., 2009. "An optimal dividends problem with transaction costs for spectrally negative Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 41-48, August.
  3. Yao, Dingjun & Yang, Hailiang & Wang, Rongming, 2011. "Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs," European Journal of Operational Research, Elsevier, vol. 211(3), pages 568-576, June.
  4. repec:spr:compst:v:67:y:2008:i:1:p:21-42 is not listed on IDEAS
  5. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
  6. 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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