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arXiv · 1301.7525

Optimal dividends in the dual model under transaction costs

Erhan Bayraktar·Andreas Kyprianou·Kazutoshi Yamazaki
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Abstract

We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a $(c_1,c_2)$-policy that brings the surplus process down to $c_1$ whenever it reaches or exceeds $c_2$ for some $0 \leq c_1 < c_2$. The value function is succinctly expressed in terms of the scale function. A series of numerical examples are provided to confirm the analytical results and to demonstrate the convergence to the no-transaction cost case, which was recently solved by Bayraktar et al. (2013).

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Erhan Bayraktar, Andreas Kyprianou, Kazutoshi Yamazaki. 2013-11-11. Optimal dividends in the dual model under transaction costs. https://arxiv.org/abs/1301.7525

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