The Dividend Strategy of the Dual Model for Uncertain Income

The optimal dividend problem proposed by Bruno de Finetti (1957) is to found the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruin or bankrupt. In this paper, the dual model which we considered is perturbed by diffusion and the optimal strategy is the barrier strategy. To determine b*, the optimal level of the dividend barrier, a key tool is the method of Laplace transforms.