  This paper considers an optimal dividend distribution problem for an
insurance company where the dividends are paid in a foreign currency. In the
absence of dividend payments, our risk process follows a spectrally negative
L\'evy process. We assume that the exchange rate is described by a an
exponentially L\'evy process, possibly containing the same risk sources like
the surplus of the insurance company under consideration. The control mechanism
chooses the amount of dividend payments. The objective is to maximise the
expected dividend payments received until the time of ruin and a penalty
payment at the time of ruin, which is an increasing function of the size of the
shortfall at ruin. A complete solution is presented to the corresponding
stochastic control problem. Via the corresponding Hamilton--Jacobi--Bellman
equation we find the necessary and sufficient conditions for optimality of a
single dividend barrier strategy. A number of numerical examples illustrate the
theoretical analysis.
