Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077397 | Insurance: Mathematics and Economics | 2009 | 8 Pages |
Abstract
We consider an optimal dividends problem with transaction costs where the reserves are modeled by a spectrally negative Lévy process. We make the connection with the classical de Finetti problem and show in particular that when the Lévy measure has a log-convex density, then an optimal strategy is given by paying out a dividend in such a way that the reserves are reduced to a certain level c1 whenever they are above another level c2. Further we describe a method to numerically find the optimal values of c1 and c2.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
R.L. Loeffen,