Abstract We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ( $i=1,2,\dots$ ) that arrive according to renewal process general interarrival times. add this classical the proportional gain feature; is, if surplus just before i th arrival is at level u , then for $a>0$ capital jumps up $(1+a)u+C_i$ . The ruin probability distribution of ti...

We consider an insurance company whose surplus follows a diffusion process with proportional reinsurance and impulse dividend control. Our objective is to maximize expected discounted dividend payouts to shareholders of the company until the time of bankruptcy. To meet some essential requirements of solvency control e.g., bankruptcy not soon , we impose some constraints on the insurance company...

We consider a class of Markovian risk models in which the insurer collects premiums at rate c1 (c2) whenever the surplus level is below (above) a constant barrier level b. We derive the Laplace­Stieltjes transform (LST) of the distribution of the time to ruin as well as the LST (with respect to time) of the joint distribution of the time to ruin, the surplus prior to ruin, and the deficit at ru...

This paper measures the effect of dividend initiation announcements on firms’ stock returns using a propensity score matching approach. Unlike the traditional event study methodology, propensity score matching can reduce the bias in the estimation of dividend initiation effects by controlling for the existence of confounding factors. Consistent with previous studies, the results show that divid...

The basic model for valuation of firm is the Dividend Discount Model (DDM). When investors buy stocks, they expect to receive two types of cash flow: dividend in the period during which the stock is owned, and the expected sales price at the end of the period. In the extreme example, the investor keeps the stock until the company is liquidated; in such a case, the liquidating dividend becomes t...

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process that we call the ”rate of discounting volatility” and show that, in equilibrium, the size of market p...

This paper investigates the optimal management of a firm faced with a long-term liability that occurs at a random date. Three issues are analysed: the optimal dividend policy; optimal expenditure on safety to delay the occurrence of the liability; and the optimal liquidation date of the firm. An owner faced with dynamic unlimited liability never liquidates and therefore accumulates capital to t...

Such high shareholder payouts might be seen as a threat to banking institutions’ capital strength if profitability faltered. However, we find that the sharp rise in shareholder payouts during 1997 appears to have been driven primarily by increases in net stock repurchases rather than by a run-up in dividend payments. The composition of these payouts is important because banking companies can cu...

China has some unique institutional features. For example, the shares of listed firms are segmented into negotiable and nonnegotiable. The controlling shareholders, usually connected to the government, hold nonnegotiable shares. We examine how these institutional features affected cash dividend payments in China during the period 1994-2006. We find that, despite China’s unique institutional set...