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 -