Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process

We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the expected discounted dividends until the time of ruin. Under appropriate conditions...

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Detalles Bibliográficos
Autores principales: Yin, Chuancun, Yuen, Kam Chuen, Shen, Ying
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2015
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4550762/
https://www.ncbi.nlm.nih.gov/pubmed/26351655
http://dx.doi.org/10.1155/2015/354129
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author Yin, Chuancun
Yuen, Kam Chuen
Shen, Ying
author_facet Yin, Chuancun
Yuen, Kam Chuen
Shen, Ying
author_sort Yin, Chuancun
collection PubMed
description We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the expected discounted dividends until the time of ruin. Under appropriate conditions, we use some recent results in the theory of potential analysis of subordinators to obtain the convexity properties of probability of ruin. We present conditions under which the optimal dividend strategy, among all admissible ones, takes the form of a barrier strategy.
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spelling pubmed-45507622015-09-08 Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process Yin, Chuancun Yuen, Kam Chuen Shen, Ying ScientificWorldJournal Research Article We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the expected discounted dividends until the time of ruin. Under appropriate conditions, we use some recent results in the theory of potential analysis of subordinators to obtain the convexity properties of probability of ruin. We present conditions under which the optimal dividend strategy, among all admissible ones, takes the form of a barrier strategy. Hindawi Publishing Corporation 2015 2015-08-13 /pmc/articles/PMC4550762/ /pubmed/26351655 http://dx.doi.org/10.1155/2015/354129 Text en Copyright © 2015 Chuancun Yin et al. https://creativecommons.org/licenses/by/3.0/ This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
spellingShingle Research Article
Yin, Chuancun
Yuen, Kam Chuen
Shen, Ying
Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
title Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
title_full Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
title_fullStr Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
title_full_unstemmed Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
title_short Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process
title_sort convexity of ruin probability and optimal dividend strategies for a general lévy process
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4550762/
https://www.ncbi.nlm.nih.gov/pubmed/26351655
http://dx.doi.org/10.1155/2015/354129
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