Dividend optimisation: A behaviouristic approach

Leonie Violetta Brinker and Julia Eisenberg

Insurance: Mathematics and Economics, 2021, vol. 101, issue PB, 202-224

Abstract: In this paper, we study a dividend maximisation problem for a Brownian risk model as a surplus and a Markov-switching model describing the preference rate of an insurer. The preference rate can attain two values – a positive and a negative. The negative preference reflects the situation when the uncertainty prevails and the insurer shows more waiting tendency. In the times of the positive preference the insurer is in modus operandi.

Keywords: Optimal control; Dividends; Brownian risk model; Markov switching; Parisian ruin (search for similar items in EconPapers)
JEL-codes: C61 E32 G35 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:101:y:2021:i:pb:p:202-224

DOI: 10.1016/j.insmatheco.2021.08.008

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