Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077515 | Insurance: Mathematics and Economics | 2010 | 11 Pages |
Abstract
In a Lévy insurance risk model, under the assumption that the tail of the Lévy measure is log-convex, we show that either a horizontal barrier strategy or the take-the-money-and-run strategy maximizes, among all admissible strategies, the dividend payments subject to an affine penalty function at ruin. As a key step for the proof, we prove that, under the aforementioned condition on the jump measure, the scale function of the spectrally negative Lévy process has a log-convex derivative.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ronnie L. Loeffen, Jean-François Renaud,