On optimal dividends in the dual model

Erhan Bayraktar, Andreas Kyprianou and Kazutoshi Yamazaki

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Abstract: We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive L\'{e}vy processes, we give a short exposition in which we show the optimality of barrier strategies for all such L\'{e}vy processes. Moreover, we characterize the optimal barrier using the functional inverse of a scale function. We also consider the capital injection problem of [3] and show that its value function has a very similar form to the one in which the horizon is the time of ruin.

Date: 2012-11, Revised 2013-06
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Citations: View citations in EconPapers (34)

Published in ASTIN Bull. 43 (2013) 359-372

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Journal Article: ON OPTIMAL DIVIDENDS IN THE DUAL MODEL (2013)
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