Three optimal dividend models are considered for which the underlying risk process is a spectrally negative Levy process. The first one concerns the classical dividends problem of de Finetti for which we give sufficient conditions under which the optimal strategy is of barrier type. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:505712 |
| Date | January 2008 |
| Creators | Loeffen, Ronnie Lambertus |
| Publisher | University of Bath |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
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