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arXiv · 2306.12374

Optimal dividends and capital injection: A general L\'evy model with extensions to regime-switching models

Dante Mata López·Kei Noba·José-Luis Pérez·Kazutoshi Yamazaki
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Abstract

This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in the single-regime setting with a concave terminal payoff function. This is then applied to show the optimality of a Markov-modulated double barrier strategy in the regime-switching model via contraction mapping arguments. We solve these for a general L\'evy model with both positive and negative jumps, greatly generalizing the existing results on spectrally one-sided models.

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Dante Mata López, Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki. 2023-06-21. Optimal dividends and capital injection: A general L\'evy model with extensions to regime-switching models. https://arxiv.org/abs/2306.12374

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