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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| Format: | Article |
| Language: | English |
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Wiley
2015-01-01
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| Series: | The Scientific World Journal |
| Online Access: | http://dx.doi.org/10.1155/2015/354129 |
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| author | Chuancun Yin Kam Chuen Yuen Ying Shen |
| author_facet | Chuancun Yin Kam Chuen Yuen Ying Shen |
| author_sort | Chuancun Yin |
| collection | DOAJ |
| 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. |
| format | Article |
| id | doaj-art-36ec7f2f858a494fb51163e8584deb15 |
| institution | OA Journals |
| issn | 2356-6140 1537-744X |
| language | English |
| publishDate | 2015-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | The Scientific World Journal |
| spelling | doaj-art-36ec7f2f858a494fb51163e8584deb152025-08-20T02:07:46ZengWileyThe Scientific World Journal2356-61401537-744X2015-01-01201510.1155/2015/354129354129Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy ProcessChuancun Yin0Kam Chuen Yuen1Ying Shen2School of Mathematical Sciences, Qufu Normal University, Shandong 273165, ChinaDepartment of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong KongSchool of Mathematical Sciences, Qufu Normal University, Shandong 273165, ChinaWe 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.http://dx.doi.org/10.1155/2015/354129 |
| spellingShingle | Chuancun Yin Kam Chuen Yuen Ying Shen Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process The Scientific World Journal |
| 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 levy process |
| url | http://dx.doi.org/10.1155/2015/354129 |
| work_keys_str_mv | AT chuancunyin convexityofruinprobabilityandoptimaldividendstrategiesforagenerallevyprocess AT kamchuenyuen convexityofruinprobabilityandoptimaldividendstrategiesforagenerallevyprocess AT yingshen convexityofruinprobabilityandoptimaldividendstrategiesforagenerallevyprocess |