2011/01/03 by Kam Chuen Yuen, Yuen, Kam Chuen, Chuancun Yin +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #60G51 #60J99 #93E20 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #math.PR #msc:60G51 #msc:60J99 #msc:93E20
paper · pdf · doi:10.48550/arxiv.1101.0447
14 pages
arxiv created 2011/01/03 · openalex publication_date 2011/01/03 · arxiv updated 2011/01/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give sufficient conditions under which the optimal strategy is of barrier type. In particular, we show that if the Levy density is a completely monotone function, then the optimal dividend strategy is a barrier strategy. This approach was inspired by the work of Avram et al. (2007) [Annals of Applied Probability 17, 156-180], Loeffen (2008) [Annals of Applied Probability 18, 1669-1680] and Kyprianou et al. (2010) [Journal of Theoretical Probability 23, 547-564] in which the same problem was considered under the spectrally negative Levy processes setting.