Optimal dividends problem with a terminal value for spectrally positive Levy processes

Abstract

In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spectrally positive Levy processes we give an explicit expression of the value function of a barrier strategy. Subsequently we show that a barrier strategy is the optimal strategy among all admissible ones. Our work is motivated by the recent work of Bayraktar, Kyprianou and Yamazaki (2013).

13 pages

References in corpus (2)

• On the optimal dividend problem for a spectrally negative Lévy process
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes