publication . Article . Other literature type . 2007

optimal dividends in the dual model

Avanzi, Benjamin; U. Gerber, Hans; S.W. Shiu, Elias;
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  • Published: 01 Jul 2007 Journal: Insurance: Mathematics and Economics, volume 41, pages 111-123 (issn: 0167-6687, Copyright policy)
  • Publisher: Elsevier BV
Abstract
The optimal dividend problem proposed by Bruno de Finetti (1957) is to find the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruined or bankrupt. In this paper, it is assumed that the surplus or shareholders’ equity is a Levy process which is skip-free downwards; such a model might be appropriate for a company that specializes in inventions and discoveries. In this model, the optimal strategy is a barrier strategy. Hence the problem is to determine b , the optimal level of the dividend barrier. A key tool is the method of Laplace transforms. A variety of numerical examp...
Subjects
free text keywords: Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability, Shareholder, Subordinator, Lévy process, Mathematical economics, Compound Poisson process, Dividend, Equity (finance), Present value, Perpetuity, Economics, Financial economics
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publication . Article . Other literature type . 2007

optimal dividends in the dual model

Avanzi, Benjamin; U. Gerber, Hans; S.W. Shiu, Elias;