On the optimal dividend problem for a spectrally positive lévy process

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<title>On the optimal dividend problem for a spectrally positive lévy process</title>
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<namePart>Yin, Chuancun</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Chuancun Yin, Yuzhen Wen, Yongxia Zhao</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/09/2014 Volumen 44 Número 3 - septiembre 2014 </text>
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