Semiparametric Estimation of Optimal Dividend Barrier for Spectrally Negative Lévy Process

Yasutaka Shimizu () and Hiroshi Shiraishi ()
Additional contact information
Yasutaka Shimizu: Waseda University
Hiroshi Shiraishi: Keio University

Chapter Chapter 22 in Research Papers in Statistical Inference for Time Series and Related Models, 2023, pp 497-517 from Springer

Abstract: Abstract We discuss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a Lévy insurance risk process. The optimal dividend barrier is defined as the level of the barrier that maximizes the expectation of the present value of all dividend payments until ruin. In this paper, an estimator of the expected present value of all dividend payments is defined based on “quasi-process” in which sample paths are generated by shuffling increments of a sample path of the Lévy insurance risk process. The consistency of the optimal dividend barrier estimator is shown. Moreover, our approach is examined numerically in the case of the compound Poisson risk model perturbed by diffusion.

Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-0803-5_22

Ordering information: This item can be ordered from
http://www.springer.com/9789819908035

DOI: 10.1007/978-981-99-0803-5_22

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().