most citedAlternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

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math.PR2011

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

Chuancun Yin, Kam Chuen Yuen, Ying Shen

In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. T…