Optimal dividends under Erlang(2) inter-dividend decision times
نویسندگان
چکیده
منابع مشابه
Optimal Dividends and ALM under Unhedgeable Risk
In this paper we develop a framework for optimal investment decisions for insurance companies under unhedgeable risk. The perspective that we choose is from an insurance company that tries to maximise the stream of dividends paid to its shareholders. The policy instruments that the company has are the dividend policy and the investment policy. The insurance company can continue to pay dividends...
متن کاملOptimal dividend distribution under Markov regime switching
In this paper we investigate the problem of optimal dividend distribution in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a drifted Brownian motion modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. The objective is to maximize the expected cumulative discounted divi...
متن کاملOptimal dividends in the dual model under transaction costs
We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a (c1, c2)-policy that brings the surplus process down to c1 whenever it reaches or exceeds c2 for some 0 ≤ c1 < c2. The value function is succinctly expressed in terms of the scale function. A series of nume...
متن کاملA Note on the Dividends-penalty Identity and the Optimal Dividend Barrier By
For a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present value of all dividends until ruin and the expected discounted value of a penalty at ruin (which is typically a function of the deficit at ruin...
متن کاملWho Cuts Dividends First? Theory and Evidence from Dividend Reductions
This paper examines dividend reduction timing at the industry level, asking what firm types choose to reduce their dividends earlier in a dividend reducing cycle than others. Theory is proposed that suggests that higher quality firms will reduce dividends sooner to start rebuilding the firm‟s profitability, while lower quality firms delay reducing their dividends until they must. This paper con...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2018
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2018.01.009