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A note on the optimal dividends paid in a foreign currency

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  • Eisenberg, Julia
  • Krühner, Paul

Abstract

We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are declared or paid in a foreign currency. The currency fluctuation is modelled as a Lévy process. We consider both cases: restricted and unrestricted dividend payments. It turns out that the value function and the optimal strategy can be calculated explicitly.

Suggested Citation

  • Eisenberg, Julia & Krühner, Paul, 2017. "A note on the optimal dividends paid in a foreign currency," Annals of Actuarial Science, Cambridge University Press, vol. 11(1), pages 67-73, March.
    • Handle: RePEc:cup:anacsi:v:11:y:2017:i:01:p:67-73_00
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    Cited by:

    1. Elena Bandini & Tiziano De Angelis & Giorgio Ferrari & Fausto Gozzi, 2022. "Optimal dividend payout under stochastic discounting," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 627-677, April.
    2. Zailei Cheng, 2017. "Optimal dividends in the dual risk model under a stochastic interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-16, March.

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