On the optimality of double barrier strategies for Lévy processes

Kei Noba

Stochastic Processes and their Applications, 2021, vol. 131, issue C, 73-102

Abstract: This paper studies de Finetti’s optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying risk model follows a Lévy process that may have positive and negative jumps. In contrast with the spectrally one-sided cases, double barrier strategies cannot be handled by using scale functions to obtain some properties of the expected net present values (NPVs) of dividends and capital injections. Instead, to obtain these properties, we observe changes in the sample path (and the associated NPV) when there is a slight change to the initial value or the barrier value.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:131:y:2021:i:c:p:73-102

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DOI: 10.1016/j.spa.2020.08.008

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