Optimal periodic dividend strategies for spectrally negative L\'evy processes with fixed transaction costs
| Autor: | Hayden Lau, Bernard Wong, Benjamin Avanzi |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Transaction cost Economics and Econometrics 60G51 93E20 91B30 Present value B − L Scale (descriptive set theory) Poisson process Lévy process symbols.namesake Econometrics symbols Economics Dividend Statistics Probability and Uncertainty Lump sum Mathematics - Optimization and Control Mathematics - Probability Quantitative Finance - Risk Management |
| Popis: | We consider the general class of spectrally positive Levy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot be paid at any time in real life, we study periodic dividend strategies whereby dividend decisions are made according to a separate arrival process. In this paper, we investigate the impact of fixed transaction costs on the optimal periodic dividend strategy, and show that a periodic ( b u , b l ) strategy is optimal when decision times arrive according to an independent Poisson process. Such a strategy leads to lump sum dividends that bring the surplus back to b l as long as it is no less than b u at a dividend decision time. The expected present value of dividends (net of transaction costs) is provided explicitly with the help of scale functions. Results are illustrated. |
| Databáze: | OpenAIRE |
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