On optimal periodic dividend strategies for L\'evy risk processes

TL;DR

This paper establishes the optimality of periodic barrier dividend strategies for spectrally negative Lévy processes with completely monotone densities, extending previous results and providing explicit formulas and numerical illustrations.

Contribution

It proves the optimality of periodic barrier strategies for a broader class of Lévy processes and derives explicit expressions using scale functions.

Findings

Optimality of periodic barrier strategies is confirmed for spectrally negative Lévy processes.

Explicit formulas for value functions are derived using scale functions.

Numerical results illustrate the effectiveness of the proposed strategies.

Abstract

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 L\'evy) 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 L\'evy process whose dual has a completely monotone L\'evy density. The optimal strategies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.