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On the optimal dividend problem for a spectrally positive Levy process

  • Chuancun Yin
  • Yuzhen Wen
  • Yongxia Zhao
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    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.

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    Paper provided by in its series Papers with number 1302.2231.

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    Date of creation: Feb 2013
    Date of revision: Mar 2014
    Handle: RePEc:arx:papers:1302.2231
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    1. Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012. "On optimal dividends in the dual model," Papers 1211.7365,, revised Jun 2013.
    2. 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.
    3. Erhan Bayraktar & Masahiko Egami, 2008. "Optimizing venture capital investments in a jump diffusion model," Mathematical Methods of Operations Research, Springer, vol. 67(1), pages 21-42, February.
    4. 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.
    5. repec:spr:compst:v:67:y:2008:i:1:p:21-42 is not listed on IDEAS
    6. repec:spr:compst:v:72:y:2010:i:1:p:129-143 is not listed on IDEAS
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