Optimal dividend-payout in random discrete time

Research output: Contribution to journalArticle

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.

Original languageEnglish
Pages (from-to)251-276
Number of pages26
JournalStatistics & Risk Modeling
Volume28
Issue number3
DOIs
Publication statusPublished - 1 Jan 2011
Externally publishedYes

Keywords

  • Cramér-Lundberg model
  • dividend strategies
  • insurance risk
  • Markov decision processes
  • Stochastic control

ASJC Scopus subject areas

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

Fields of Expertise

  • Information, Communication & Computing

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