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On optimal periodic dividend strategies in the dual model with diffusion

Listed author(s):
  • Avanzi, Benjamin
  • Tu, Vincent
  • Wong, Bernard
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    The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when dividend decisions are made continuously. In practice, however, companies that are capable of issuing dividends make dividend decisions on a periodic (rather than continuous) basis.

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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 55 (2014)
    Issue (Month): C ()
    Pages: 210-224

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    Handle: RePEc:eee:insuma:v:55:y:2014:i:c:p:210-224
    DOI: 10.1016/j.insmatheco.2014.01.005
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    1. Albrecher Hansjörg & Bäuerle Nicole & Thonhauser Stefan, 2011. "Optimal dividend-payout in random discrete time," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 251-276, September.
    2. Avanzi, Benjamin & Gerber, Hans U., 2008. "Optimal Dividends in the Dual Model with Diffusion," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 38(02), pages 653-667, November.
    3. Albrecher, Hansjörg & Cheung, Eric C.K. & Thonhauser, Stefan, 2011. "Randomized Observation Periods for the Compound Poisson Risk Model: Dividends," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 41(02), pages 645-672, November.
    4. Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012. "On optimal dividends in the dual model," Papers 1211.7365,, revised Jun 2013.
    5. Avanzi, Benjamin & Shen, Jonathan & Wong, Bernard, 2011. "Optimal Dividends and Capital Injections in the Dual Model with Diffusion," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 41(02), pages 611-644, November.
    6. Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2014. "Optimal dividends in the dual model under transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 133-143.
    7. Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung, 2013. "On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 98-113.
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