Optimality of multi-refraction control strategies in the dual model
José-Luis Pérez and
Insurance: Mathematics and Economics, 2018, vol. 83, issue C, 148-160
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant of the bail-out case where both dividend payments and capital injections must be absolutely continuous with respect to the Lebesgue measure. The second is an extension of Avanzi et al. (2017) where a strategy is a combination of two absolutely continuous dividend payments with different upper bounds and different transaction costs. In both problems, it is shown to be optimal to refract the process at two thresholds, with the optimally controlled process being the multi-refracted Lévy process recently studied by Czarna et al. (0000). The optimal strategy and the value function are succinctly written in terms of a version 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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:83:y:2018:i:c:p:148-160
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