Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility

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Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_C06D11F424D9
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility
Périodique
Stochastic Models
Auteur(s)
Thonhauser S., Albrecher H.
ISSN
1532-6349
Statut éditorial
Publié
Date de publication
2011
Peer-reviewed
Oui
Volume
27
Numéro
1
Pages
120-140
Langue
anglais
Résumé
We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.
Mots-clé
Classical risk model, Dividends, Stochastic control, Transaction costs
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Création de la notice
31/08/2009 13:35
Dernière modification de la notice
03/03/2018 21:05
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