On optimal dividends in the dual model
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive L\'{e}vy processes, we give a short exposition in which we show the optimality of barrier strategies for all such L\'{e}vy processes. Moreover, we characterize the optimal barrier using the functional inverse of a scale function. We also consider the capital injection problem of [3] and show that its value function has a very similar form to the one in which the horizon is the time of ruin.
Year of publication: |
2012-11
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Authors: | Bayraktar, Erhan ; Kyprianou, Andreas ; Yamazaki, Kazutoshi |
Institutions: | arXiv.org |
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