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On optimal dividends in the dual model
Recurso electrónico / electronic resource
MAP20130038506
Bayraktar, Erhan ‌
On optimal dividends in the dual model / Erhan Bayraktar, Andreas E. Kyprianou, Kazutoshi Yamazaki
Sumario: We 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
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/09/2013 Volumen 43 Número 3 - septiembre 2013
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