Optimal dividends in the dual model under transaction costs

Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki

Insurance: Mathematics and Economics, 2014, vol. 54, issue C, 133-143

Abstract: 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≤c1Keywords: Dual model; Dividends; Impulse control; Spectrally positive Lévy processes; Scale functions (search for similar items in EconPapers)
JEL-codes: C44 C61 G24 G32 G35 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:54:y:2014:i:c:p:133-143

DOI: 10.1016/j.insmatheco.2013.11.007

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