Optimal dividends in the dual model under transaction costs

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<dc:creator>Bayraktar, Erhan</dc:creator>
<dc:date>2014-01-13</dc:date>
<dc:description xml:lang="es">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=c1<c2. The value function is succinctly expressed in terms of the scale function. A series of numerical examples are provided to confirm the analytical results and to demonstrate the convergence to the no-transaction cost case, which was recently solved by Bayraktar et al. (2013).</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/146199.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Optimal dividends in the dual model under transaction costs</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 13/01/2014 Volumen 54 Número 1 - enero 2014 </dc:relation>
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