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Article: Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest
Title | Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest |
---|---|
Authors | |
Issue Date | 2006 |
Publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 |
Citation | North American Actuarial Journal, 2006, v. 10 n. 2, p. 94-119 How to Cite? |
Abstract | In the absence of investment and dividend payments, the surplus is modeled by a Brownian motion. But now assume that the surplus earns investment income at a constant rate of credit interest. Dividends are paid to the shareholders according to a barrier strategy. It is shown how the expected discounted value of the dividends and the optimal dividend barrier can be calculated; Kummer's confluent hypergeometric differential equation plays a key role in this context. An alternative assumption is that business can go on after ruin, as long as it is profitable. When the surplus is negative, a higher rate of debit interest is applied. Several numerical examples document the influence of the parameters on the optimal dividend strategy. |
Persistent Identifier | http://hdl.handle.net/10722/82908 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.692 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Cai, J | en_HK |
dc.contributor.author | Gerber, HU | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.date.accessioned | 2010-09-06T08:34:46Z | - |
dc.date.available | 2010-09-06T08:34:46Z | - |
dc.date.issued | 2006 | en_HK |
dc.identifier.citation | North American Actuarial Journal, 2006, v. 10 n. 2, p. 94-119 | en_HK |
dc.identifier.issn | 1092-0277 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82908 | - |
dc.description.abstract | In the absence of investment and dividend payments, the surplus is modeled by a Brownian motion. But now assume that the surplus earns investment income at a constant rate of credit interest. Dividends are paid to the shareholders according to a barrier strategy. It is shown how the expected discounted value of the dividends and the optimal dividend barrier can be calculated; Kummer's confluent hypergeometric differential equation plays a key role in this context. An alternative assumption is that business can go on after ruin, as long as it is profitable. When the surplus is negative, a higher rate of debit interest is applied. Several numerical examples document the influence of the parameters on the optimal dividend strategy. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 | en_HK |
dc.relation.ispartof | North American Actuarial Journal | en_HK |
dc.title | Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1092-0277&volume=10&spage=94&epage=119&date=2006&atitle=Optimal+Dividends+in+an+Ornstein-Uhlenbeck+Type+Model+with+Credit+and+Debit+Interest | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.scopus | eid_2-s2.0-52749090722 | en_HK |
dc.identifier.hkuros | 120728 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-52749090722&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 10 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 94 | en_HK |
dc.identifier.epage | 119 | en_HK |
dc.identifier.isi | WOS:000211847100007 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Cai, J=25222516300 | en_HK |
dc.identifier.scopusauthorid | Gerber, HU=7202185517 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.issnl | 1092-0277 | - |