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A Lévy Risk Model with Ratcheting Dividend Strategy and Historic High-Related Stopping
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-03-26
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper focuses on the De Finetti’s dividend problem for the spectrally negative Lévy risk process, where the dividend is deducted from the surplus process according to the racheting dividend strategy which was firstly introduced in Albrecher et al.
(2018).
A major feature of the racheting strategy lies in which the dividend rate never decreases.
Unlike the conventional studies, the closed form expression for the expected, accumulated, and discounted dividend payments until the draw-down time (rather than the ruin time) is obtained in terms of the scale functions corresponding to the underlying Lévy process.
The optimal barrier for the ratcheting strategy is also studied, where the dividend rate can be increased.
Finally, two special cases, where the scale functions are explicitly known, i.e., the Brownian motion with drift and the compound Poisson model, are considered to illustrate the main result.
American Psychological Association (APA)
Zhang, Aili& Liu, Zhang. 2020. A Lévy Risk Model with Ratcheting Dividend Strategy and Historic High-Related Stopping. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1196652
Modern Language Association (MLA)
Zhang, Aili& Liu, Zhang. A Lévy Risk Model with Ratcheting Dividend Strategy and Historic High-Related Stopping. Mathematical Problems in Engineering No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1196652
American Medical Association (AMA)
Zhang, Aili& Liu, Zhang. A Lévy Risk Model with Ratcheting Dividend Strategy and Historic High-Related Stopping. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1196652
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1196652