Dividend maximization under consideration of the time value of ruin
نویسندگان
چکیده
منابع مشابه
Dividend Maximization under Consideration of the Time Value of Ruin∗
In the Cramér-Lundberg model and its di usion approximation, it is a classical problem to nd the optimal dividend payment strategy that maximizes the expected value of the discounted dividend payments until ruin. One often raised disadvantage of this approach is the fact that such a strategy does not take the life time of the controlled process into account. In this paper we introduce a value f...
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In this paper, we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity. We assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model. It is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of ba...
متن کاملoptimal asset control of the diffusion model under consideration of the time value of ruin
in this paper, we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity. we assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model. it is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of ba...
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Consider the following stylized model for insurance business: X1,X2, ... the total sum of claims per period are iid nonnegative integer valued, c the total premium per period is a positive integer, and the initial surplus s is a non negative integer. The reserve R(t) of the company without dividend payment evolves as R(0) = s and R(t+ 1) = R(t) + c−Xt+1, t ≥ 0. Throughout the paper we assume th...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2007
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2006.10.013