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arXiv · 2309.17152

A note on the optimal dividends problem with transaction costs in a spectrally negative L\'evy model with Parisian ruin

Jean-François Renaud
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Abstract

In this note, merging ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally negative L\'evy model with Parisian ruin, as long as the tail of the L\'evy measure is log-convex.

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Jean-François Renaud. 2023-09-29. A note on the optimal dividends problem with transaction costs in a spectrally negative L\'evy model with Parisian ruin. https://arxiv.org/abs/2309.17152

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