On the optimal dividend problem for a spectrally positive lévy process

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      <subfield code="a">On the optimal dividend problem for a spectrally positive lévy process</subfield>
      <subfield code="c">Chuancun Yin, Yuzhen Wen, Yongxia Zhao</subfield>
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      <subfield code="a">In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Lévy process before dividends are deducted. This model includes the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to an admissible strategy whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that the optimal dividend strategy is formed by a threshold strategy.</subfield>
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      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">01/09/2014 Volumen 44 Número 3 - septiembre 2014 </subfield>
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