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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models

  • Kei Noba (a1), José-Luis Pérez (a2), Kazutoshi Yamazaki (a3) and Kouji Yano (a1)

Abstract

De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the version with bail-outs where the surplus must be nonnegative uniformly in time. For a general spectrally negative Lévy model, we show the optimality of a Parisian-classical reflection strategy that pays the excess above a given barrier at each Poisson arrival time and also reflects from below at 0 in the classical sense.

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Corresponding author

* Postal address: Department of Mathematics, Graduate School of Science, Kyoto University Sakyo-ku, Kyoto 606-8502, Japan.
** Email address: knoba@math.kyoto-u.ac.jp
*** Postal address: Department of Probability and Statistics, Centro de Investigación en Matemáticas, A.C. Calle Jalisco s/n. C.P. 36240, Guanajuato, Mexico. Email address: jluis.garmendia@cimat.mx
**** Postal address: Department of Mathematics, Faculty of Engineering Science, Kansai University, 3-3-35 Yamate-cho, Suita-shi, Osaka 564-8680, Japan. Email address: kyamazak@kansai-u.ac.jp
***** Email address: kyano@math.kyoto-u.ac.jp

References

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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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