scholarly journals On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes

2008 ◽  
Vol 18 (5) ◽  
pp. 1669-1680 ◽  
Author(s):  
R. L. Loeffen
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Barrier Strategy ◽  
Spectrally Negative Lévy Processes

Optimal barrier strategy for spectrally negative Lévy process discounted by a class of exponential Lévy processes

2018 ◽  
Vol 12 (2) ◽  
pp. 326-337
Author(s):  
Huanqun Jiang
Keyword(s):  
Lévy Process ◽  
Lévy Processes ◽  
Levy Processes ◽  
Levy Process ◽  
Barrier Strategy ◽  
Dividend Payment ◽  
Surplus Process ◽  
Spectrally Negative Lévy Process ◽  
Exponential Lévy Process ◽  
Spectrally Negative Lévy Processes

AbstractIn this paper, we extend the optimality of the barrier strategy for the dividend payment problem to the setting that the underlying surplus process is a spectrally negative Lévy process and the discounting factor is an exponential Lévy process. The proof of the main result uses the fluctuation identities of spectrally negative Lévy processes. This extends recent results of Eisenberg for the case where the accumulated interest rate and surplus process are independent Brownian motions with drift.

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