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Article: Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest

TitleOptimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest
Authors
Issue Date2006
PublisherSociety 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/82908
ISSN
2015 SCImago Journal Rankings: 1.505
References

 

DC FieldValueLanguage
dc.contributor.authorCai, Jen_HK
dc.contributor.authorGerber, HUen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:34:46Z-
dc.date.available2010-09-06T08:34:46Z-
dc.date.issued2006en_HK
dc.identifier.citationNorth American Actuarial Journal, 2006, v. 10 n. 2, p. 94-119en_HK
dc.identifier.issn1092-0277en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82908-
dc.description.abstractIn 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.languageengen_HK
dc.publisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033en_HK
dc.relation.ispartofNorth American Actuarial Journalen_HK
dc.titleOptimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interesten_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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+Interesten_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-52749090722en_HK
dc.identifier.hkuros120728en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-52749090722&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume10en_HK
dc.identifier.issue2en_HK
dc.identifier.spage94en_HK
dc.identifier.epage119en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridCai, J=25222516300en_HK
dc.identifier.scopusauthoridGerber, HU=7202185517en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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