On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes - Mathematics > ProbabilityReportar como inadecuado




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Abstract: We consider the classical optimal dividend control problem which was proposedby de Finetti Trans. XVth Internat. Congress Actuaries 2 1957 433-443.Recently Avram, Palmowski and Pistorius Ann. Appl. Probab. 17 2007 156-180studied the case when the risk process is modeled by a general spectrallynegative L\-{e}vy process. We draw upon their results and give sufficientconditions under which the optimal strategy is of barrier type, thereby helpingto explain the fact that this particular strategy is not optimal in general. Asa consequence, we are able to extend considerably the class of processes forwhich the barrier strategy proves to be optimal.



Autor: R. L. Loeffen

Fuente: https://arxiv.org/







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