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Optimal dividends in the dual model under transaction costs

Sección: Artículos
Título: Optimal dividends in the dual model under transaction costs / Erhan Bayraktar, Andreas E. Kyprianou, Kazutoshi YamazakiAutor: Bayraktar, Erhan
Notas: Sumario: We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a (c1,c2)-policy that brings the surplus process down to c1 whenever it reaches or exceeds c2 for some 0=c1Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 13/01/2014 Volumen 54 Número 1 - enero 2014 Otras clasificaciones: 6
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