Alternative approach to the optimality of the threshold  strategyfor spectrally negative L'evy processes

YIN Chuancun; SHEN Ying; YUEN Kam-Chuen

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Alternative approach to the optimality of the threshold strategyfor spectrally negative L'evy processes

YIN Chuancun 1 *,SHEN Ying 1,YUEN Kam-Chuen 2

1.School of Mathematical Sciences, Qufu Normal University, Qufu 273165

2.Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong

*Correspondence author

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Funding: The National Natural Science Foundation of China（No.Grant No. 11171179）, the Research Fund for the Doctoral Program of Higher Education of China （No.No. 20093705110002）

Opened online:29 November 2012

Accepted by: none

Citation: YIN Chuancun,SHEN Ying,YUEN Kam-Chuen.Alternative approach to the optimality of the threshold strategyfor spectrally negative L'evy processes[OL]. [29 November 2012] http://en.paper.edu.cn/en_releasepaper/content/4497694

This paper considers the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative L'evy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. We shown that a thresholdstrategy forms an optimal strategy under the condition that theL'evy measure has a completely monotone density.

Keywords:Applied probability; Spectrally negative L'evy process; Optimal dividend problem; Scale function; Complete monotonicity; Threshold strategy

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