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Article: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

TitleAlternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Authors
KeywordsSpectrally negative Lévy process
Optimal dividend problem
Scale function
Complete monotonicity
Threshold strategy
Issue Date2013
PublisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10255/
Citation
Acta Mathematicae Applicatae Sinica, 2013, v. 29 n. 4, p. 705-716 How to Cite?
AbstractConsider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Lévy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy (also called refraction strategy) forms an optimal strategy under the condition that the Lévy measure has a completely monotone density.
Persistent Identifierhttp://hdl.handle.net/10722/200926
ISSN
2017 Impact Factor: 0.273
2015 SCImago Journal Rankings: 0.220
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorShen, Y-
dc.contributor.authorYin, C-
dc.contributor.authorYuen, KC-
dc.date.accessioned2014-08-21T07:07:12Z-
dc.date.available2014-08-21T07:07:12Z-
dc.date.issued2013-
dc.identifier.citationActa Mathematicae Applicatae Sinica, 2013, v. 29 n. 4, p. 705-716-
dc.identifier.issn0168-9673-
dc.identifier.urihttp://hdl.handle.net/10722/200926-
dc.description.abstractConsider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Lévy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy (also called refraction strategy) forms an optimal strategy under the condition that the Lévy measure has a completely monotone density.-
dc.languageeng-
dc.publisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10255/-
dc.relation.ispartofActa Mathematicae Applicatae Sinica-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/10.1007/s10255-013-0248-9-
dc.subjectSpectrally negative Lévy process-
dc.subjectOptimal dividend problem-
dc.subjectScale function-
dc.subjectComplete monotonicity-
dc.subjectThreshold strategy-
dc.titleAlternative approach to the optimality of the threshold strategy for spectrally negative Levy processes-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s10255-013-0248-9-
dc.identifier.scopuseid_2-s2.0-84891124360-
dc.identifier.hkuros235003-
dc.identifier.volume29-
dc.identifier.issue4-
dc.identifier.spage705-
dc.identifier.epage716-
dc.identifier.isiWOS:000326846900004-
dc.publisher.placeGermany-

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