Optimal Dividends in the Dual Model with Diffusion

Details

Serval ID
serval:BIB_25195471DF4C
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Optimal Dividends in the Dual Model with Diffusion
Journal
ASTIN Bulletin
Author(s)
Avanzi Benjamin, Gerber Hans U.
ISSN
0515-0361
1783-1350
Publication state
Published
Issued date
2008
Peer-reviewed
Oui
Volume
38
Number
02
Pages
653-667
Language
english
Abstract
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
Yes
Create date
16/07/2018 15:45
Last modification date
21/08/2019 6:13
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