dc.contributor.author | Bai, Lihua | eng |
dc.contributor.author | Hunting, Martin | eng |
dc.contributor.author | Paulsen, Jostein | eng |
dc.date.accessioned | 2012-12-12T10:41:01Z | |
dc.date.available | 2012-12-12T10:41:01Z | |
dc.date.issued | 2012 | eng |
dc.Published | Finance and Stochastics 16(3): 477-511 | eng |
dc.identifier.issn | 0949-2984 (print) | en_US |
dc.identifier.issn | 1432-1122 (online) | en_US |
dc.identifier.uri | https://hdl.handle.net/1956/6226 | |
dc.description.abstract | In this paper, we consider a company where surplus follows a rather general di usion process and whose objective is to maximize expected discounted dividend payments. With each dividend payment there are transaction costs and taxes and it is shown in [7] that under some reasonable assumptions, optimality is achieved by using a lump sum dividend barrier strategy, i.e. there is an upper barrier u and a lower barrier u so that whenever surplus reaches u , it is reduced to u through a dividend payment. However, these optimal barriers may be unacceptably low from a solvency point of view. It is argued that in that case one should still we should look for a barrier strategy, but with barriers that satisfy a given constraint. We propose a solvency constraint similar to that in [6]; whenever dividends are paid out the probability of ruin within a xed time T and with the same strategy in the future, should not exceed a predetermined level ". It is shown how optimality can be achieved under this constraint, and 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">Optimal dividend policy and ruin probability for models with investment</a> | en_US |
dc.subject | Optimal dividends | eng |
dc.subject | general di ffusion | eng |
dc.subject | solvency constraint | eng |
dc.subject | quasi-variational inequalities | eng |
dc.subject | lump sum dividend barrier strategy | eng |
dc.title | Optimal dividend policies for a class of growth-restricted di usion processes under transaction costs and solvency constraints | en_US |
dc.type | Peer reviewed | |
dc.type | Journal article | |
dc.description.version | acceptedVersion | en_US |
dc.rights.holder | Copyright the authors. All rights reserved | en_US |
dc.identifier.doi | https://doi.org/10.1007/s00780-011-0169-5 | |
dc.identifier.cristin | 932713 | |