Journal article

Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs

Benjamin Avanzi, Hayden Lau, Bernard Wong

Insurance: Mathematics and Economics | Elsevier BV | Published : 2020


We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot be paid at any time in real life, we study periodic dividend strategies whereby dividend decisions are made according to a separate arrival process. In this paper, we investigate the impact of fixed transaction costs on the optimal periodic dividend strategy, and show that a periodic strategy is optimal when decision times arrive according to an independent Poisson process. Such a strategy leads to lump sum dividends that bring the surplus back to as long..

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University of Melbourne Researchers


Awarded by Australian Research Council

Funding Acknowledgements

This research was supported under Australian Research Council's Linkage (LP130100723) and Discovery (DP200101859) Projects funding schemes. Hayden Lau acknowledges financial support from an Australian Postgraduate Award and supplementary scholarships provided by the UNSW Australia Business School. The views expressed herein are those of the authors and are not necessarily those of the supporting organisations.