IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v120y2025icp189-206.html
   My bibliography  Save this article

Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin

Author

Listed:
  • Locas, Félix
  • Renaud, Jean-François

Abstract

We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative Lévy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the control problems considered by Kyprianou et al. (2012) and by Renaud (2019). Using the language of scale functions for Parisian fluctuation theory, and under the assumption that the density of the Lévy measure is completely monotone, we prove that a refraction dividend strategy is optimal and we characterize the optimal threshold. In particular, we study the effect of the rate of Parisian implementation delays on this optimal threshold.

Suggested Citation

  • Locas, Félix & Renaud, Jean-François, 2025. "Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 189-206.
    • Handle: RePEc:eee:insuma:v:120:y:2025:i:c:p:189-206
    DOI: 10.1016/j.insmatheco.2024.11.011
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668724001252
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2024.11.011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:120:y:2025:i:c:p:189-206. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.