On optimal periodic dividend strategies in the dual model with diffusion

Benjamin Avanzi, Vincent Tu and Bernard Wong

Insurance: Mathematics and Economics, 2014, vol. 55, issue C, 210-224

Abstract: The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when dividend decisions are made continuously. In practice, however, companies that are capable of issuing dividends make dividend decisions on a periodic (rather than continuous) basis.

Keywords: IM13; IE50; Optimal dividends; Dual model; Stochastic control; Periodic barrier (search for similar items in EconPapers)
JEL-codes: C44 C61 G24 G32 G35 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:55:y:2014:i:c:p:210-224

DOI: 10.1016/j.insmatheco.2014.01.005

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