On optimal periodic dividend strategies in the dual model with diffusion
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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Volume (Year): 55 (2014)
Issue (Month): C ()
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- 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.
- 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.
- 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.
- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
"On optimal dividends in the dual model,"
1211.7365, arXiv.org, revised Jun 2013.
- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013. "On Optimal Dividends In The Dual Model," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 359-372, September.
- 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.
- 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.
- 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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