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arXiv · 1101.0446

Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

Ying Shen·Chuancun Yin·Kam Chuen Yuen
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Abstract

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Kyprianou, Loeffen and Perez [28] have shown that a refraction strategy (also called threshold strategy) forms an optimal strategy under the condition that the Levy measure has a completely monotone density. In this paper, we propose an alternative approach to this optimal problem.

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Ying Shen, Chuancun Yin, Kam Chuen Yuen. 2011-01-03. Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes. https://doi.org/10.1007/s10255-013-0248-9

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