Convexity of ruin probability and optimal dividend strategies for a general Levy process

Details Convexity of ruin probability and optimal dividend strategies for a general Levy process Convexity of ruin probability and optimal dividend strategies for a general Levy process

2011-01-03

arxiv.org/abs/1101.0449v2

Mathematics

Probability

24 pages, corrected some typos

Scientific paper

We continue the recent work of Yuen and Yin (Mathematical and Computer Modelling 53 (2011): 1700-1707) to study the optimal dividends problem for a company whose cash reserves follow a general Levy process with two-sided jumps. The objective is to find a policy which maximizes the expected discounted dividends until the time of bankruptcy. Under appropriate conditions, we obtain the convexity properties of probability of ruin and the generalized scale function. Subsequently we investigate when the dividend policy that is optimal among all admissible ones takes the form of a barrier strategy.

Affiliated with

Also associated with

No associations

Rating

Convexity of ruin probability and optimal dividend strategies for a general Levy process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Convexity of ruin probability and optimal dividend strategies for a general Levy process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Convexity of ruin probability and optimal dividend strategies for a general Levy process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-238099