On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs
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| Format: | Preprint |
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2024
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| _version_ | 1866911810885517312 |
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| author | Moreno-Franco, Harold A. Pérez, Jose-Luis |
| author_facet | Moreno-Franco, Harold A. Pérez, Jose-Luis |
| contents | We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally negative Lévy process. Our analysis confirms the optimality of a periodic $(b_{1},b_{2})$-barrier policy with classical reflection at zero. This strategy involves reducing the surplus to $b_1$ when it exceeds $b_{2}$ at the Poisson arrival times and pushes the surplus to 0 whenever it goes below zero. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2403_16077 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs Moreno-Franco, Harold A. Pérez, Jose-Luis Optimization and Control 91B30, 60G51, 93E20 We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a spectrally negative Lévy process. Our analysis confirms the optimality of a periodic $(b_{1},b_{2})$-barrier policy with classical reflection at zero. This strategy involves reducing the surplus to $b_1$ when it exceeds $b_{2}$ at the Poisson arrival times and pushes the surplus to 0 whenever it goes below zero. |
| title | On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs |
| topic | Optimization and Control 91B30, 60G51, 93E20 |
| url | https://arxiv.org/abs/2403.16077 |