Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

Ying Shen, Chuancun Yin and Kam Chuen Yuen

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Abstract: Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Kyprianou, Loeffen and Perez [28] have shown that a refraction strategy (also called threshold strategy) forms an optimal strategy under the condition that the Levy measure has a completely monotone density. In this paper, we propose an alternative approach to this optimal problem.

Date: 2011-01, Revised 2014-02
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Published in Acta Mathematicae Applicatae Sinica, English Series Vol. 29, No. 4 (2013) 705-716

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1101.0446

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