On a mean reverting dividend strategy with Brownian motion

Benjamin Avanzi and Bernard Wong

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 229-238

Abstract: In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out patterns that are inconsistent with actual practice. One issue is the high variability of the dividend payment rates over time. We aim at addressing that problem by specifying a dividend strategy that yields stable dividend pay-outs over time.

Keywords: Dividends; Brownian motion; Ornstein–Uhlenbeck process; Mean reverting (search for similar items in EconPapers)
JEL-codes: C44 G22 G32 G35 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:229-238

DOI: 10.1016/j.insmatheco.2012.04.002

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