An optimal dividends problem with transaction costs for spectrally negative Lévy processes
We consider an optimal dividends problem with transaction costs where the reserves are modeled by a spectrally negative Lévy process. We make the connection with the classical de Finetti problem and show in particular that when the Lévy measure has a log-convex density, then an optimal strategy is given by paying out a dividend in such a way that the reserves are reduced to a certain level c1 whenever they are above another level c2. Further we describe a method to numerically find the optimal values of c1 and c2.
|Year of publication:||
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 1, p. 41-48
|Keywords:||Lévy process Stochastic control Impulse control Dividend problem Scale function|
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