Optimal dividend problem with a terminal value for spectrally positive Lévy processes

Chuancun Yin and Yuzhen Wen

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 769-773

Abstract: In this paper we consider a modified version of the classical optimal dividend problem taking into account both expected dividends and the time value of ruin. We assume that the risk process is modeled by a general spectrally positive Lévy process before dividends are deducted. Using the fluctuation theory of spectrally positive Lévy 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 (2013a).

Keywords: Barrier strategy; Dual model; Optimal dividend strategy; Scale functions; Spectrally positive Lévy process; Stochastic control (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:769-773

DOI: 10.1016/j.insmatheco.2013.09.019

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