On the optimal dividend problem for a spectrally positive Levy process
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.
References listed on IDEAS
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- Bjarne Hø jgaard & Michael Taksar, 1999. "Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 153-182.
- Erhan Bayraktar & Masahiko Egami, 2007.
"Optimizing Venture Capital Investments in a Jump Diffusion Model,"
math/0703823, arXiv.org, revised Jul 2007.
- Erhan Bayraktar & Masahiko Egami, 2008. "Optimizing venture capital investments in a jump diffusion model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 21-42, February.
- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
"On optimal dividends in the dual model,"
1211.7365, arXiv.org, revised Jun 2013.
- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013. "On Optimal Dividends In The Dual Model," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 359-372, September.
- repec:spr:compst:v:72:y:2010:i:1:p:129-143 is not listed on IDEAS
- repec:spr:compst:v:67:y:2008:i:1:p:21-42 is not listed on IDEAS
- 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.
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