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Optimal dividends problem with a terminal value for spectrally positive Levy processes


  • Chuancun Yin
  • Yuzhen Wen


In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spectrally positive Levy processes we give an explicit expression of the value function of a barrier strategy. Subsequently we show that a barrier strategy is the optimal strategy among all admissible ones. Our work is motivated by the recent work of Bayraktar, Kyprianou and Yamazaki (2013).

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  • Chuancun Yin & Yuzhen Wen, 2013. "Optimal dividends problem with a terminal value for spectrally positive Levy processes," Papers 1302.6011,
  • Handle: RePEc:arx:papers:1302.6011

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    References listed on IDEAS

    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. 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.
    3. repec:spr:compst:v:67:y:2008:i:1:p:21-42 is not listed on IDEAS
    4. 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.
    5. repec:spr:compst:v:72:y:2010:i:1:p:129-143 is not listed on IDEAS
    6. Thonhauser, Stefan & Albrecher, Hansjorg, 2007. "Dividend maximization under consideration of the time value of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 163-184, July.
    7. Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius, 2007. "On the optimal dividend problem for a spectrally negative L\'{e}vy process," Papers math/0702893,
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    Cited by:

    1. repec:eee:insuma:v:79:y:2018:i:c:p:57-68 is not listed on IDEAS
    2. Chuancun Yin & Kam Chuen Yuen, 2014. "Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs," Papers 1409.0407,
    3. Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016. "On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models," Papers 1607.01902,, revised Nov 2016.
    4. Jos'e-Luis P'erez & Kazutoshi Yamazaki, 2016. "Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities," Papers 1612.02444,, revised Jan 2018.
    5. repec:eee:insuma:v:74:y:2017:i:c:p:135-146 is not listed on IDEAS
    6. Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi, 2017. "On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 148-162.
    7. repec:spr:joptap:v:167:y:2015:i:1:d:10.1007_s10957-014-0653-0 is not listed on IDEAS
    8. repec:eee:insuma:v:77:y:2017:i:c:p:1-13 is not listed on IDEAS

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