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Optimality of the threshold dividend strategy for the compound Poisson model

Listed author(s):
  • Yin, Chuancun
  • Yuen, Kam Chuen
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    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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    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
    DOI: 10.1016/j.spl.2011.07.022
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    1. 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.
    2. 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.
    3. 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.
    4. Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius, 2007. "On the optimal dividend problem for a spectrally negative L\'{e}vy process," Papers math/0702893,
    5. 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.
    6. Pablo Azcue & Nora Muler, 2010. "Optimal investment policy and dividend payment strategy in an insurance company," Papers 1010.4988,
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