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arXiv · 1801.00088

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

Kei Noba·José-Luis Pérez·Kazutoshi Yamazaki·Kouji Yano
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Abstract

De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers 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 times and also reflects from below at zero in the classical sense.

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Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki, Kouji Yano. 2017-12-30. On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. https://arxiv.org/abs/1801.00088

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