An optimal dividends problem with transaction costs for spectrally negative Lévy processes

R.L. Loeffen

Insurance: Mathematics and Economics, 2009, vol. 45, issue 1, pages 41-48

Abstract: We consider an optimal dividends problem with transaction costs where the reserves are modeled by a spectrally negative Lévy process. We make the connection with the classical de Finetti problem and show in particular that when the Lévy measure has a log-convex density, then an optimal strategy is given by paying out a dividend in such a way that the reserves are reduced to a certain level c1 whenever they are above another level c2. Further we describe a method to numerically find the optimal values of c1 and c2.

Keywords: Lévy; process; Stochastic; control; Impulse; control; Dividend; problem; Scale; function (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:1:p:41-48

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