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Article: Optimality of the threshold dividend strategy for the compound Poisson model
Title | Optimality of the threshold dividend strategy for the compound Poisson model | ||||||
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Authors | |||||||
Keywords | Complete monotonicity Compound Poisson model Optimal dividend problem Primary Secondary Threshold strategy | ||||||
Issue Date | 2011 | ||||||
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro | ||||||
Citation | Statistics And Probability Letters, 2011, v. 81 n. 12, p. 1841-1846 How to Cite? | ||||||
Abstract | In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends are paid to the shareholders according to an admissible strategy with dividend rate bounded by a constant. Our objective is to find a dividend policy so as to maximize the expected discounted value of dividends until ruin. We give sufficient conditions under which the optimal strategy is of threshold type. © 2011 Elsevier B.V. | ||||||
Persistent Identifier | http://hdl.handle.net/10722/139734 | ||||||
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.448 | ||||||
ISI Accession Number ID |
Funding Information: We would like to thank the anonymous referee who gave us many constructive suggestions and valuable comments on the previous version of the paper. The research of Chuancun Yin was supported by the Research Fund for the Doctoral Program of Higher Education of China (No. 20093705110002). The research of Kam C. Yuen was supported by a university research grant of the University of Hong Kong. | ||||||
References |
DC Field | Value | Language |
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dc.contributor.author | Yin, C | en_HK |
dc.contributor.author | Yuen, KC | en_HK |
dc.date.accessioned | 2011-09-23T05:54:50Z | - |
dc.date.available | 2011-09-23T05:54:50Z | - |
dc.date.issued | 2011 | en_HK |
dc.identifier.citation | Statistics And Probability Letters, 2011, v. 81 n. 12, p. 1841-1846 | en_HK |
dc.identifier.issn | 0167-7152 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/139734 | - |
dc.description.abstract | In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends are paid to the shareholders according to an admissible strategy with dividend rate bounded by a constant. Our objective is to find a dividend policy so as to maximize the expected discounted value of dividends until ruin. We give sufficient conditions under which the optimal strategy is of threshold type. © 2011 Elsevier B.V. | en_HK |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro | en_HK |
dc.relation.ispartof | Statistics and Probability Letters | en_HK |
dc.subject | Complete monotonicity | en_HK |
dc.subject | Compound Poisson model | en_HK |
dc.subject | Optimal dividend problem | en_HK |
dc.subject | Primary | en_HK |
dc.subject | Secondary | en_HK |
dc.subject | Threshold strategy | en_HK |
dc.title | Optimality of the threshold dividend strategy for the compound Poisson model | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_HK |
dc.identifier.authority | Yuen, KC=rp00836 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.spl.2011.07.022 | en_HK |
dc.identifier.scopus | eid_2-s2.0-80051919989 | en_HK |
dc.identifier.hkuros | 196535 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-80051919989&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 81 | en_HK |
dc.identifier.issue | 12 | en_HK |
dc.identifier.spage | 1841 | en_HK |
dc.identifier.epage | 1846 | en_HK |
dc.identifier.isi | WOS:000297088200015 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Yin, C=7201995678 | en_HK |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_HK |
dc.identifier.citeulike | 9621067 | - |
dc.identifier.issnl | 0167-7152 | - |