Optimal Dividend Problem With an Exponential Terminal Time in the Dual Model

Student: Irina Sindeeva

Educational Programme: Stochastic Modelling in Economics and Finance (Master)

Year of Graduation: 2024

This thesis will study the optimal dividend problem by considering that the time horizon is an exponentially distributed random variable. The surplus process will be modelled by a spectrally positive Lévy process. By drawing upon the fluctuation theory, the explicit solution will be given in terms of the scale function.

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