Journal article

On optimal joint reflective and refractive dividend strategies in spectrally positive Levy models

Benjamin Avanzi, Jose-Luis Perez, Bernard Wong, Kazutoshi Yamazaki

Insurance: Mathematics and Economics | Elsevier | Published : 2017

Abstract

The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for bounded and unbounded payout rates, respectively. In this paper, motivated by the behavior of some dividend paying stock exchange companies, we determine the optimal dividend strategy when both continuous (refractive) and lump sum (reflective) dividends can be paid at any time, and if they are subject to different transaction rates. We consider the general family of spectrally positive Lévy processes. Us..

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University of Melbourne Researchers

Grants

Awarded by Australian Research Council


Awarded by CONACYT


Awarded by MEXT KAKENHI Grant


Funding Acknowledgements

The authors are grateful to a referee for helpful comments, and to Hayden Lau for research assistance. B. Avanzi and B. Wong acknowledge support under Australian Research Council's Linkage Projects funding scheme (project number LP130100723). J. L. Perez is supported by CONACYT, project no. 241195. K. Yamazaki is in part supported by MEXT KAKENHI Grant Number 26800092. The views expressed herein are those of the authors and are not necessarily those of the supporting organisations.