On optimal periodic dividend strategies for Lévy risk processes

Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki and Kouji Yano

Insurance: Mathematics and Economics, 2018, vol. 80, issue C, 29-44

Abstract: In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive Lévy) model, recent results have shown the optimality of a periodic barrier strategy, which pays dividends at Poissonian dividend-decision times, if and only if the surplus is above some level. In this paper, we show the optimality of this strategy for a spectrally negative Lévy process whose dual has a completely monotone Lévy density. The optimal strategies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.

Keywords: Dividends; Spectrally negative Lévy processes; Scale functions; Periodic barrier strategies; Stochastic control (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:80:y:2018:i:c:p:29-44

DOI: 10.1016/j.insmatheco.2018.02.004

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