Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate

Zailei Cheng

Papers from arXiv.org

Abstract: Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual risk model, under a stochastic interest rate, assuming the discounting factor follows a geometric Brownian motion or exponential L\'evy process. We will show that closed form solutions can be obtained.

Date: 2017-05
New Economics Papers: this item is included in nep-rmg
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Published in International Journal of Financial Engineering, Vol. 4, No. 1 (2017)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1705.08411

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