On optimal periodic dividend strategies for Lévy risk processes

Publication date: Available online 1 March 2018
Source:Insurance: Mathematics and Economics
Author(s): Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki, Kouji Yano
In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive Lévy) model, recent results have shown the optimality of a periodic barrier strategy, which pays dividends at Poissonian dividend-decision times, if and only if the surplus is above some level. In this paper, we show the optimality of this strategy for a spectrally negative Lévy process whose dual has a completely monotone Lévy density. The optimal strategies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.