Abstract
ABSTRACT Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, periodic dividend strategies were recently introduced (Albrecher et al. 2011). In this paper, we incorporate fixed transaction costs into the model and study the optimal periodic dividend strategy with fixed transaction costs for spectrally negative Lévy processes. The value function of a periodic strategy is calculated by means of exiting identities and Itô's excusion when the surplus process is of unbounded variation. We show that a sufficient condition for optimality is that the Lévy measure admits a density which is completely monotonic. Under such assumptions, a periodic strategy is confirmed to be optimal. Results are illustrated.
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