Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: An alternative approach
✍ Scribed by Chuancun Yin; Chunwei Wang
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 591 KB
- Volume
- 233
- Category
- Article
- ISSN
- 0377-0427
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✦ Synopsis
The optimal dividend problem proposed in de Finetti is to find the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Avram et al. [9] studied the case when the risk process is modelled by a general spectrally negative Lévy process and Loeffen gave sufficient conditions under which the optimal strategy is of the barrier type. Recently Kyprianou et al. [11] strengthened the result of Loeffen [10] which established a larger class of Lévy processes for which the barrier strategy is optimal among all admissible ones. In this paper we use an analytical argument to re-investigate the optimality of barrier dividend strategies considered in the three recent papers.