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Optimal dividends in the dual model under transaction costs. (English) Zbl 1294.91071

Summary: We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a \((c_1,c_2)\)-policy that brings the surplus process down to \(c_1\) whenever it reaches or exceeds \(c_2\) for some \(0\leq c_1<c_2\). The value function is succinctly expressed in terms of the scale function. A series of numerical examples are provided to confirm the analytical results and to demonstrate the convergence to the no-transaction cost case, which was recently solved by E. Bayraktar et al. [Astin Bull. 43, No. 3, 359–372 (2013; Zbl 1283.91192)].

MSC:

91B30 Risk theory, insurance (MSC2010)
60G51 Processes with independent increments; Lévy processes
93E20 Optimal stochastic control

Citations:

Zbl 1283.91192
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References:

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