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Optimality of refraction strategies for a constrained dividend problem
Advances in Applied Probability. 2019. Vol. 51. No. 3. P. 633–666.
We consider de Finetti’s problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of ruin. To characterize the solution to the aforementioned models, we first solve the optimal dividend problem with a terminal value at ruin and show the optimality of threshold strategies. Next, we introduce the dual Lagrangian problem and show that the complementary slackness conditions are satisfied, characterizing the optimal Lagrange multiplier. Finally, we illustrate our findings with a series of numerical examples.
Research target:
Mathematics
Language:
English
Keywords: Spectrally one-sided Lévy processesDividend paymentOptimal controlRuin time constraintRefracted Lévy processesScale functions
Publication based on the results of:
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