Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7354730 | Insurance: Mathematics and Economics | 2018 | 30 Pages |
Abstract
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We consider De Finetti's problem for one-sided Lévy risk models in both scenarios with and without fix transaction costs. To characterize the solution to the aforementioned models we introduce the dual problem and show that the complementary slackness conditions are satisfied and therefore there is no duality gap. As a consequence the optimal value function can be obtained as the pointwise infimum of auxiliary value functions. Finally, we illustrate our findings with a series of numerical examples.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Camilo Hernández, Mauricio Junca, Harold Moreno-Franco,