On Optimal Dividend Strategies in the Compound Poisson Model

Details

Serval ID
serval:BIB_D8808A87C66F
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On Optimal Dividend Strategies in the Compound Poisson Model
Journal
North American Actuarial Journal
Author(s)
Gerber H. U., Shiu E. S. W.
Publication state
Published
Issued date
2006
Peer-reviewed
Oui
Volume
10
Number
2
Pages
76-93
Language
english
Abstract
The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the International Congress of Actuaries in New York (1957). For a stock company which pays dividends to its shareholders, what is the strategy that maximizes the expectation of the discounted dividends (until possible ruin)? Jeanblanc-Picqué and Shiryaev (1995) and Asmussen and Taksar (1997) solved the problem by modeling the aggregate net income of the company by a Wiener process and imposing the condition of a bounded dividend rate. Here we study the problem with the Wiener process generalized to a compound Poisson process.
Keywords
Optimal dividend strategies, threshold strategies, Hamilton-Jacobi-Bellman equation, mixture of exponentials
Create date
19/11/2007 10:49
Last modification date
20/08/2019 15:58
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