Optimal dividends problem with a terminal value for spectrally positive Levy processes

By Chuancun Yin, Yuzhen Wen. 2013

127 citations recorded by the source corpus.

In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spectrally positive Levy processes we give an explicit expression of the value function of a barrier strategy. Subsequently we show that a barrier strategy is the optimal strategy among all admissible ones. Our work is motivated by the recent work of Bayraktar, Kyprianou and Yamazaki (2013).

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e3c27c95db761fd43feec92e5da54cf1574fbca7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Ping Chen
2. Hailiang Yang
3. Yongxia Zhao
4. Zhibin Liang
5. Yan Zeng

In Finance

1. Ping Chen
2. Hailiang Yang
3. Yongxia Zhao
4. Chuancun Yin

In Management Science and Operations Research

1. Ping Chen
2. Hailiang Yang
3. Yongxia Zhao
4. Kam Chuen Yuen
5. Chuancun Yin
6. Zhibin Liang
7. Yan Zeng

Citations in the corpus

• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS (2013, unknown): “(3.9) From (2.3) in Yin and Wen (2013), we have Ex(e−qT + b ,T+b T − 0 ) = Z(q)(b − x) − W(q)(b − x) Z(q)(b) W(q)(b) .”
• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017, background): “…(Yongxia Zhao), pche@unimelb.edu.au (Ping Chen), hlyang@hku.hk (Hailiang Yang) Preprint submitted to Elsevier March 22, 2017 Bayraktar et al. (2013), Yin and Wen (2013) and Zhao et al. (2015), the optimal dividend problems were studied in a general spectrally positive Lévy risk model.”