Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admis...Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy 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 Levy measure has a completely monotone density.展开更多
基金Supported by the National Natural Science Foundation of China(No.10771119,No.11171179)the Research Fund for the Doctoral Program of Higher Education of China(No.20093705110002)The research of Kam C.Yuen was supported by a university research grant of the University of Hong Kong
文摘Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy 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 Levy measure has a completely monotone density.
