On Optimality of the Barrier Strategy in De Finetti's Dividend Problem for Spectrally Negative Levy Processes

R L Loeffen

Research output: Contribution to journalArticle

112 Citations (Scopus)

Abstract

We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433-443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156-180] studied the case when the risk process is modeled by a general spectrally negative Levy process. We draw upon their results and give sufficient conditions under which the optimal strategy is of barrier type, thereby helping to explain the fact that this particular strategy is not optimal in general. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.
Original languageEnglish
Pages (from-to)1669-1680
Number of pages12
JournalAnnals of Applied Probability
Volume18
Issue number5
DOIs
Publication statusPublished - 2008

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