ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
By Chuancun Yin, Yuzhen Wen, Yongxia Zhao. ASTIN Bulletin: The Journal of the International Actuarial Association, 2013
92 citations recorded by the source corpus.
Abstract In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Lévy process before dividends are deducted. This model includes the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to an admissible strategy 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. We show that the optimal dividend strategy is formed by a threshold strategy.
Subfields: Finance, Management Information Systems, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/98ea7193d3d629349963817b89be89ab364cce5c
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Citations in the corpus
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs (2014, methodology): “Other related work can be found in Yin and Wen [26], Yin, Wen and Zhao [28], Avanzi et al.”
- Optimal dividends problem with a terminal value for spectrally positive Levy processes (2013, background): “For example, Avanzi et al. (2007), Avanzi and Gerber (2008), Bayraktar and Egami (2008), Li and Wu (2009), Ng (2009), Yao, Yang and Wang (2010), Dai, Liu and Luan (2010, 2011), Avanzi, Shen and Wong (2011), Bayraktar, Kyprianou and Yamazaki (2013), Yin and Wen (2013) to name but a few.”