dc.contributor.author | Hunting, Martin | eng |
dc.contributor.author | Paulsen, Jostein | eng |
dc.date.accessioned | 2012-12-05T13:08:48Z | |
dc.date.available | 2012-12-05T13:08:48Z | |
dc.date.issued | 2012 | eng |
dc.Published | Finance and Stochastics 17(1): 73-106 | |
dc.identifier.issn | 1432-1122 (online) | en_US |
dc.identifier.uri | https://hdl.handle.net/1956/6214 | |
dc.description.abstract | This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each dividend payment is changed by a fixed and a proportional cost, meaning that if ξ is paid out by the company, the shareholders receive kξ−K, where k and K are positive. The aim is to maximize expected discounted dividends until ruin. It is proved that when the jumps belong to a certain class of light-tailed distributions, the optimal policy is a simple lump sum policy, that is, when assets are equal to or larger than an upper barrier uˉ∗ , they are immediately reduced to a lower barrier u−∗ through a dividend payment. The case with K=0 is also investigated briefly, and the optimal policy is shown to be a reflecting barrier policy for the same light-tailed class. Methods to numerically verify whether a simple lump sum barrier strategy is optimal for any jump distribution are provided at the end of the paper, and some numerical examples are given. | en_US |
dc.language.iso | eng | eng |
dc.publisher | Springer Verlag | en_US |
dc.relation.ispartof | <a href="http://hdl.handle.net/1956/6213" target="blank">Optimal dividend policy and ruin probability for models with investment</a> | en_US |
dc.subject | Optimal dividends | eng |
dc.subject | Jump-diffusion models | eng |
dc.subject | Impulse control | eng |
dc.subject | Barrier strategy | eng |
dc.subject | Singular control | eng |
dc.subject | Numerical solution | eng |
dc.title | Optimal dividend policies with transaction costs for a class of jump-diffusion processes | en_US |
dc.type | Peer reviewed | |
dc.type | Journal article | |
dc.description.version | acceptedVersion | en_US |
dc.rights.holder | Copyright Springer-Verlag 2012 | en_US |
dc.identifier.doi | https://doi.org/10.1007/s00780-012-0186-z | |
dc.identifier.cristin | 1032014 | |