On a mean reverting dividend strategy with Brownian motion

In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out patterns that are inconsistent with actual practice. One issue is the high variability of the dividend payment rates over time. We aim at addressing that problem by specifying a dividend strategy that yields stable dividend pay-outs over time.

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Year of publication:	2012
Authors:	Avanzi, Benjamin ; Wong, Bernard
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 2, p. 229-238
Publisher:	Elsevier
Subject:	Dividends \| Brownian motion \| Ornstein–Uhlenbeck process \| Mean reverting

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Type of publication:	Article
Classification:	G35 - Payout Policy ; G32 - Financing Policy; Capital and Ownership Structure ; G22 - Insurance; Insurance Companies ; C44 - Statistical Decision Theory; Operations Research
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594502