On optimal dividends in the dual model
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001 | MAP20130038506 | ||
003 | MAP | ||
005 | 20131120175250.0 | ||
008 | 131119e20130902esp|||p |0|||b|eng d | ||
040 | $aMAP$bspa$dMAP | ||
084 | $a6 | ||
100 | $0MAPA20090000537$aBayraktar, Erhan | ||
245 | 1 | 0 | $aOn optimal dividends in the dual model$cErhan Bayraktar, Andreas E. Kyprianou, Kazutoshi Yamazaki |
520 | $aWe revisit the dividend payment problem in the dual model of Avanzi et al. ([24]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short exposition in which we show the optimality of barrier strategies for all such Lévy processes. Moreover, we characterize the optimal barrier using the functional inverse of a scale function. We also consider the capital injection problem of [4] and show that its value function has a very similar form to the one in which the horizon is the time of ruin. | ||
773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g02/09/2013 Volumen 43 Número 3 - septiembre 2013 |