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Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: An alternative approach
- Source :
- Journal of Computational and Applied Mathematics. (2):482-491
- Publisher :
- Elsevier B.V.
-
Abstract
- The optimal dividend problem proposed in de Finetti [1] is to find the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Avram et al. [9] studied the case when the risk process is modelled by a general spectrally negative Lévy process and Loeffen [10] gave sufficient conditions under which the optimal strategy is of the barrier type. Recently Kyprianou et al. [11] strengthened the result of Loeffen [10] which established a larger class of Lévy processes for which the barrier strategy is optimal among all admissible ones. In this paper we use an analytical argument to re-investigate the optimality of barrier dividend strategies considered in the three recent papers.
- Subjects :
- Class (set theory)
Applied Mathematics
Optimal dividend problem
Complete monotonicity
Type (model theory)
Spectrally negative Lévy process
Lévy process
Convexity
Scale function
Computational Mathematics
Risk process
Value (economics)
Log-convexity
Dividend
Mathematical economics
Mathematics
Barrier strategy
Subjects
Details
- Language :
- English
- ISSN :
- 03770427
- Issue :
- 2
- Database :
- OpenAIRE
- Journal :
- Journal of Computational and Applied Mathematics
- Accession number :
- edsair.doi.dedup.....69e1ce79312d7b039944a446ab61860c
- Full Text :
- https://doi.org/10.1016/j.cam.2009.07.051