Optimality of the threshold dividend strategy for the compound Poisson model

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.

MoreLess

Year of publication:	2011
Authors:	Yin, Chuancun ; Yuen, Kam Chuen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1841-1846
Publisher:	Elsevier
Subject:	Compound Poisson model \| Optimal dividend problem \| Complete monotonicity \| Threshold strategy

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571796