| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076786 | Insurance: Mathematics and Economics | 2014 | 11 Pages |
Abstract
We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a (c1,c2)-policy that brings the surplus process down to c1 whenever it reaches or exceeds c2 for some 0â¤c1
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Erhan Bayraktar, Andreas E. Kyprianou, Kazutoshi Yamazaki,
