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Optimality of the threshold dividend strategy for the compound Poisson model

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  • Yin, Chuancun
  • Yuen, Kam Chuen
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    Abstract

    In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends are paid to the shareholders according to an admissible strategy with dividend rate bounded by a constant. Our objective is to find a dividend policy so as to maximize the expected discounted value of dividends until ruin. We give sufficient conditions under which the optimal strategy is of threshold type.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167715211002537
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 81 (2011)
    Issue (Month): 12 ()
    Pages: 1841-1846

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    Handle: RePEc:eee:stapro:v:81:y:2011:i:12:p:1841-1846

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    Related research

    Keywords: Compound Poisson model; Optimal dividend problem; Complete monotonicity; Threshold strategy;

    References

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    1. Yuen, Kam-Chuen & Zhou, Ming & Guo, Junyi, 2008. "On a risk model with debit interest and dividend payments," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2426-2432, October.
    2. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    3. Albrecher, Hansjörg & Thonhauser, Stefan, 2008. "Optimal dividend strategies for a risk process under force of interest," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 134-149, August.
    4. Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 1-15, June.
    5. Pablo Azcue & Nora Muler, 2010. "Optimal investment policy and dividend payment strategy in an insurance company," Papers 1010.4988, arXiv.org.
    6. Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius, 2007. "On the optimal dividend problem for a spectrally negative L\'{e}vy process," Papers math/0702893, arXiv.org.
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