Optimal dividends in the dual model under transaction costs

Erhan Bayraktar, Andreas E. Kyprianou, Kazutoshi Yamazaki

Research output: Contribution to journalArticle

27 Citations (Scopus)

Abstract

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).
Original languageEnglish
Pages (from-to)133-143
Number of pages11
JournalInsurance, Mathematics and Economics
Volume54
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Fingerprint

Transaction Costs
Dividend
Scale Function
Lévy Process
Optimal Strategy
Value Function
Exceed
Numerical Examples
Series
Model
Demonstrate
Transaction costs
Optimal dividends
Policy
Payment
Lévy process
Surplus process
Value function
Optimal strategy

Cite this

Optimal dividends in the dual model under transaction costs. / Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi.

In: Insurance, Mathematics and Economics, Vol. 54, No. 1, 01.01.2014, p. 133-143.

Research output: Contribution to journalArticle

Bayraktar, Erhan ; Kyprianou, Andreas E. ; Yamazaki, Kazutoshi. / Optimal dividends in the dual model under transaction costs. In: Insurance, Mathematics and Economics. 2014 ; Vol. 54, No. 1. pp. 133-143.
@article{71d399a74b0f48458f2d25825318725c,
title = "Optimal dividends in the dual model under transaction costs",
abstract = "We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive L{\'e}vy 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).",
author = "Erhan Bayraktar and Kyprianou, {Andreas E.} and Kazutoshi Yamazaki",
year = "2014",
month = "1",
day = "1",
doi = "10.1016/j.insmatheco.2013.11.007",
language = "English",
volume = "54",
pages = "133--143",
journal = "Insurance, Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier",
number = "1",

}

TY - JOUR

T1 - Optimal dividends in the dual model under transaction costs

AU - Bayraktar, Erhan

AU - Kyprianou, Andreas E.

AU - Yamazaki, Kazutoshi

PY - 2014/1/1

Y1 - 2014/1/1

N2 - 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).

AB - 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).

UR - http://www.scopus.com/inward/record.url?scp=84889677199&partnerID=8YFLogxK

UR - http://dx.doi.org/10.1016/j.insmatheco.2013.11.007

U2 - 10.1016/j.insmatheco.2013.11.007

DO - 10.1016/j.insmatheco.2013.11.007

M3 - Article

VL - 54

SP - 133

EP - 143

JO - Insurance, Mathematics and Economics

JF - Insurance, Mathematics and Economics

SN - 0167-6687

IS - 1

ER -