We consider the dividends problem for both de Finetti's and Dual models for spectrally one-sided L\'evy processes subject to a constraint on the time of ruin . We0pt%DIFAUXCMD , now in context of one-sided L\'evy risk models. We consider de Finetti's problem in both scenarios with and without fix transaction costs, e.g. taxes. We also study the constrained analog to the so called Dual model. To characterize the solution to the aforementioned models we } introduce the dual problem and show that the complementary slackness condition in both models are satisfied , thus there is no duality gap. Therefore the optimal value function can be obtained as the point-wise infimum of auxiliary value functions indexed by Lagrange multipliers. We also present a numerical example .
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \mbox{%DIFAUXCMD HJ150pt%DIFAUXCMD , now in context of one-sided L\'evy risk models. We consider de Finetti's problem in both scenarios with and without fix transaction costs, e.g. taxes. We also study the constrained analog to the so called Dual model. To characterize the solution to the aforementioned models we } introduce the dual problem and show that the complementary slackness conditions are satisfied and therefore there is no duality gap. As a consequence the optimal value function can be obtained as the pointwise infimum of auxiliary value functions indexed by Lagrange multipliers. Finally, we illustrate our findings with a series of numerical examples .
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consider the dividends problem for both de Finetti's and Dual models for spectrally one-sided L\'evy processes subject to
introduce a longevity feature to the classical optimal dividend problem by adding
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of the firm. We extend the results in \mbox{%DIFAUXCMD HJ15
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condition in both models are satisfied , thus
conditions are satisfied and therefore
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As a consequence
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point-wise
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We also present a numerical example
Finally, we illustrate our findings with a series of numerical examples