Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076706 | Insurance: Mathematics and Economics | 2013 | 5 Pages |
Abstract
In this paper we consider a modified version of the classical optimal dividend problem taking into account both expected dividends and the time value of ruin. We assume that the risk process is modeled by a general spectrally positive Lévy process before dividends are deducted. Using the fluctuation theory of spectrally positive Lévy 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 (2013a).
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Chuancun Yin, Yuzhen Wen,