Optimal dividend-payout in random discrete time
Assume that the surplus process of an insurance company is described by a general Lévy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. Under this setting we show that the optimal dividend pay-out policy is a band-policy. If the renewal process is a Poisson process, it is further shown that for Cramér–Lundberg risk processes with exponential claim sizes and its diffusion limit the optimal policy collapses to a barrier-policy. Finally, a numerical example is given for which the optimal bands can be calculated explicitly. The random observation procedure studied in this paper also allows for an interpretation in terms of a random walk model with a certain type of random discounting.
Year of publication: |
2011
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Authors: | Hansjörg, Albrecher ; Nicole, Bäuerle ; Stefan, Thonhauser |
Published in: |
Statistics & Risk Modeling. - De Gruyter. - Vol. 28.2011, 3, p. 251-276
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Publisher: |
De Gruyter |
Saved in:
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