ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

@article{Bayraktar2013ONOD,
  title={ON OPTIMAL DIVIDENDS IN THE DUAL MODEL},
  author={Erhan Bayraktar and Andreas E. Kyprianou and Kazutoshi Yamazaki},
  journal={ASTIN Bulletin},
  year={2013},
  volume={43},
  pages={359 - 372}
}
Abstract We revisit the dividend payment problem in the dual model of Avanzi et al. ([2–4]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short exposition in which we show the optimality of barrier strategies for all such Lévy processes. Moreover, we characterize the optimal barrier using the functional inverse of a scale function. We also consider the capital injection problem of [4] and show that its value function has a very similar form to the one in which… 

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