Optimality of the threshold dividend strategy for the compound Poisson model

Chuancun Yin and Kam Chuen Yuen

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1841-1846

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.

Keywords: Compound Poisson model; Optimal dividend problem; Complete monotonicity; Threshold strategy (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2011.07.022

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