On a dividend problem with random funding

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling dividends we use the common approach whereas for the funding opportunity we use the jump times of another independent Poisson process at which we choose an appropriate funding height. In case of exponentially distributed claims we are able to determine an explicit solution to the problem and derive an optimal strategy whose nature heavily depends on the size of the transaction costs. Furthermore, the optimal strategy identifies unfavourable surplus positions prior to ruin at which refunding is highly recommended.
Original languageEnglish
JournalEuropean Actuarial Journal
DOIs
Publication statusE-pub ahead of print - 13 Jun 2019

Fingerprint

Dividend
Transaction Costs
Optimal Strategy
Ruin Theory
Risk Process
Explicit Solution
Poisson process
Jump
Choose
Maximise
Directly proportional
Modeling
Dividends
Funding
Optimal strategy

Keywords

  • Ruin theory
  • Classical risk model
  • Dividends
  • Stochastic control

Fields of Expertise

  • Information, Communication & Computing

Cite this

On a dividend problem with random funding. / Strini, Josef Anton; Thonhauser, Stefan.

In: European Actuarial Journal, 13.06.2019.

Research output: Contribution to journalArticleResearchpeer-review

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