On the optimality of periodic barrier strategies for a spectrally positive Lévy process

José-Luis Pérez and Kazutoshi Yamazaki

Insurance: Mathematics and Economics, 2017, vol. 77, issue C, 1-13

Abstract: We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. (2014) solved the case with i.i.d. hyperexponential jumps; they showed the optimality of a (periodic) barrier strategy where dividends are paid at dividend-decision times if and only if the surplus is above some level. In this paper, we generalize the results for a general spectrally positive Lévy process with additional terminal payoff/penalty at ruin, and also solve the case with classical bail-outs so that the surplus is restricted to be nonnegative. The optimal strategies as well as the value functions are concisely written in terms of the scale function. Numerical results are also given.

Keywords: Dividends; Capital injection; Lévy processes; Scale functions; Dual model (search for similar items in EconPapers)
JEL-codes: C44 C61 G24 G32 G35 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13

DOI: 10.1016/j.insmatheco.2017.08.001

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