Optimal Dividends in the Dual Model with Diffusion

Détails

ID Serval
serval:BIB_25195471DF4C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Optimal Dividends in the Dual Model with Diffusion
Périodique
ASTIN Bulletin
Auteur⸱e⸱s
Avanzi Benjamin, Gerber Hans U.
ISSN
0515-0361
1783-1350
Statut éditorial
Publié
Date de publication
2008
Peer-reviewed
Oui
Volume
38
Numéro
02
Pages
653-667
Langue
anglais
Résumé
In the dual model, the surplus of a company is a Lévy process with sample paths that are skip-free downwards. In this paper, the aggregate gains process is the sum of a shifted compound Poisson process and an independent Wiener process. By means of Laplace transforms, it is shown how the expectation of the discounted dividends until ruin can be calculated, if a barrier strategy is applied, and how the optimal dividend barrier can be determined. Conditions for optimality are discussed and several numerical illustrations are given. Furthermore, a family of models is analysed where the individual gain amount distribution is rescaled and compensated by a change of the Poisson parameter.
Open Access
Oui
Création de la notice
16/07/2018 15:45
Dernière modification de la notice
21/08/2019 6:13
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