On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models

Benjamin Avanzi, José-Luis Pérez, Bernard Wong and Kazutoshi Yamazaki

Insurance: Mathematics and Economics, 2017, vol. 72, issue C, 148-162

Abstract: The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for bounded and unbounded payout rates, respectively.

Keywords: Surplus models; Optimal dividends; Threshold strategy; Barrier strategy; Transaction costs (search for similar items in EconPapers)
JEL-codes: C44 C61 G24 G32 G35 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668716302888
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:72:y:2017:i:c:p:148-162

DOI: 10.1016/j.insmatheco.2016.10.010

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().