Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
Hayden Lau and
Insurance: Mathematics and Economics, 2020, vol. 93, issue C, 315-332
We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot be paid at any time in real life, we study periodic dividend strategies whereby dividend decisions are made according to a separate arrival process.
Keywords: Optimal dividends; Periodic dividends; Dual risk model; Fixed transaction costs; SPLP (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:93:y:2020:i:c:p:315-332
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