A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin

Jean-François Renaud

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: In this note, combining ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally negative Lévy model with Parisian ruin, as long as the tail of the Lévy measure is log-convex.

Keywords: Impulse control; Optimal dividends; Parisian ruin; Spectrally negative Lévy processes; Log-convexity (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109978

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