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De Finetti's optimal dividends problem with an affine penalty function at ruin

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  • Loeffen, Ronnie L.
  • Renaud, Jean-François

Abstract

In a Lévy insurance risk model, under the assumption that the tail of the Lévy measure is log-convex, we show that either a horizontal barrier strategy or the take-the-money-and-run strategy maximizes, among all admissible strategies, the dividend payments subject to an affine penalty function at ruin. As a key step for the proof, we prove that, under the aforementioned condition on the jump measure, the scale function of the spectrally negative Lévy process has a log-convex derivative.

Suggested Citation

  • Loeffen, Ronnie L. & Renaud, Jean-François, 2010. "De Finetti's optimal dividends problem with an affine penalty function at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 98-108, February.
    • Handle: RePEc:eee:insuma:v:46:y:2010:i:1:p:98-108
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    References listed on IDEAS

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