Optimal dividends in the dual model under transaction costs

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<title>Optimal dividends in the dual model under transaction costs</title>
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<abstract displayLabel="Summary">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).</abstract>
<note type="statement of responsibility">Erhan Bayraktar,  Andreas E. Kyprianou, Kazutoshi Yamazaki</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>13/01/2014 Volumen 54 Número 1 - enero 2014 </text>
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