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Abstract De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the… Click to show full abstract
Abstract De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the version with bail-outs where the surplus must be nonnegative uniformly in time. For a general spectrally negative Lévy model, we show the optimality of a Parisian-classical reflection strategy that pays the excess above a given barrier at each Poisson arrival time and also reflects from below at 0 in the classical sense.
Keywords:
spectrally negative;
dividend capital;
periodic dividend;
optimal periodic;
capital injection;
dividend
Journal Title: Journal of Applied Probability
Year Published: 2018
Link to full text (if available)
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Journal Title: Journal of Applied Probability
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!