Optimal dividend-payout in random discrete time

Publikation: Beitrag in einer FachzeitschriftArtikel

Abstract

Assume that the surplus process of an insurance company is described by a general Lévy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. Under this setting we show that the optimal dividend pay-out policy is a band-policy. If the renewal process is a Poisson process, it is further shown that for Cramér-Lundberg risk processes with exponential claim sizes and its diffusion limit the optimal policy collapses to a barrier-policy. Finally, a numerical example is given for which the optimal bands can be calculated explicitly. The random observation procedure studied in this paper also allows for an interpretation in terms of a random walk model with a certain type of random discounting.

Originalspracheenglisch
Seiten (von - bis)251-276
Seitenumfang26
FachzeitschriftStatistics & Risk Modeling
Jahrgang28
Ausgabenummer3
DOIs
PublikationsstatusVeröffentlicht - 1 Jan 2011
Extern publiziertJa

ASJC Scopus subject areas

  • !!Statistics and Probability
  • !!Modelling and Simulation
  • !!Statistics, Probability and Uncertainty

Fields of Expertise

  • Information, Communication & Computing

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