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Optimal dividends under Erlang(2) inter-dividend decision times

Benjamin Avanzi, Vincent Tu and Bernard Wong

Insurance: Mathematics and Economics, 2018, vol. 79, issue C, 225-242

Abstract: In the classical dividends problem, dividend decisions are allowed to be made at any time. Under such a framework, the optimal dividend strategies are often of barrier or threshold type, which can lead to very irregular dividend payments over time. In practice however companies distribute dividends on a periodic basis. In that spirit, “Erlangisation” techniques have been used to approximate problems with fixed inter-dividend decision times.

Keywords: Brownian motion; Stochastic control; Dividends; Periodic strategies; Barrier strategies; Erlangisation (search for similar items in EconPapers)
JEL-codes: C44 C61 G24 G32 G35 (search for similar items in EconPapers)
Date: 2018
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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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