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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
- Source :
- Journal of Applied Probability. 55:1272-1286
- Publication Year :
- 2018
- Publisher :
- Cambridge University Press (CUP), 2018.
-
Abstract
- De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the version with bail-outs where the surplus must be nonnegative uniformly in time. For a general spectrally negative Lévy model, we show the optimality of a Parisian-classical reflection strategy that pays the excess above a given barrier at each Poisson arrival time and also reflects from below at 0 in the classical sense.
- Subjects :
- Statistics and Probability
050208 finance
General Mathematics
05 social sciences
Poisson distribution
01 natural sciences
Arrival time
Dividend payment
Scale function
010104 statistics & probability
symbols.namesake
Capital injection
0502 economics and business
Econometrics
Reflection (physics)
symbols
Dividend
0101 mathematics
Statistics, Probability and Uncertainty
Mathematics
Subjects
Details
- ISSN :
- 14756072 and 00219002
- Volume :
- 55
- Database :
- OpenAIRE
- Journal :
- Journal of Applied Probability
- Accession number :
- edsair.doi...........6998dc085e5df71437bc1c705d257daf