A note on the optimal dividends paid in a foreign currency

Julia Eisenberg and Paul Krühner

Annals of Actuarial Science, 2017, vol. 11, issue 1, 67-73

Abstract: We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are declared or paid in a foreign currency. The currency fluctuation is modelled as a Lévy process. We consider both cases: restricted and unrestricted dividend payments. It turns out that the value function and the optimal strategy can be calculated explicitly.

Date: 2017
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