On the optimal dividend problem for a spectrally negative Lévy process

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dc.creatorAvram, Florin
dc.creatorPalmowski, Zbigniew
dc.creatorPistorius, Martijn R.
dc.date2007-02-28
dc.date.accessioned2026-07-07T12:11:22Z
dc.date.available2026-07-07T12:11:22Z
dc.descriptionIn this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected discounted dividends. Related is the problem where we impose the restriction that ruin be prevented: the beneficiaries of the dividends must then keep the insurance company solvent by bail-out loans. Drawing on the fluctuation theory of spectrally negative Lévy processes we give an explicit analytical description of the optimal strategy in the set of barrier strategies and the corresponding value function, for either of the problems. Subsequently we investigate when the dividend policy that is optimal among all admissible ones takes the form of a barrier strategy.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051606000000709 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702893
dc.identifierhttp://arxiv.org/abs/math/0702893
dc.identifierAnnals of Applied Probability 2007, Vol. 17, No. 1, 156-180
dc.identifierdoi:10.1214/105051606000000709
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210200
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60J99 (Primary) 93E20, 60G51 (Secondary)
dc.titleOn the optimal dividend problem for a spectrally negative Lévy process
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