Search Results - subject:"optimal dividend problem"

Optimal capital injections and dividends with tax in a risk model in discrete time

Bata, Katharina; Schmidli, Hanspeter - In: European Actuarial Journal 10 (2020) 1, pp. 235-259

We consider a risk model in discrete time with dividends and capital injections. The goal is to maximise the value of a dividend strategy. We show that the optimal strategy is of barrier type. That is, all capital above a certain threshold is paid as dividend. A second problem adds tax to the...

Persistent link: https://www.econbiz.de/10014504517

An optimal dividend problem with capital injections over a finite horizon

Ferrari, Giorgio; Schuhmann, Patrick - 2018

In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The … optimal stopping problem gives the derivative of the value function of the optimal dividend problem. Moreover, the optimal … dividend problem with capital injections to an optimal stopping problem for a drifted Brownian motion that is absorbed at zero …

Persistent link: https://www.econbiz.de/10012042134

An optimal dividend problem with capital injections over a finite horizon

Ferrari, Giorgio; Schuhmann, Patrick - 2018

Persistent link: https://www.econbiz.de/10011892207

Optimality of the threshold dividend strategy for the compound Poisson model

Yin, Chuancun; Yuen, Kam Chuen - In: Statistics & Probability Letters 81 (2011) 12, pp. 1841-1846

In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends …

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