Optimal dividend strategies for a compound poisson process under transaction costs and power utility

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

Original languageEnglish
Pages (from-to)120-140
Number of pages21
JournalStochastic Models
Volume27
Issue number1
DOIs
Publication statusPublished - 1 Jan 2011
Externally publishedYes

Fingerprint

Compound Poisson Process
Transaction Costs
Dividend
Insurance
Impulse Control
Compound Poisson
Strictly positive
Numerical Procedure
Value Function
Costs
Control Problem
Strategy
Model

Keywords

  • Classical risk model
  • Dividends
  • Stochastic control
  • Transaction costs

ASJC Scopus subject areas

  • Modelling and Simulation
  • Statistics and Probability
  • Applied Mathematics

Fields of Expertise

  • Information, Communication & Computing

Cite this

Optimal dividend strategies for a compound poisson process under transaction costs and power utility. / Thonhauser, Stefan; Albrecher, Hansjörg.

In: Stochastic Models, Vol. 27, No. 1, 01.01.2011, p. 120-140.

Research output: Contribution to journalArticleResearchpeer-review

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