Journal article
On Optimal Dividend Strategies In The Compound Poisson Model
North American Actuarial Journal, Vol.10(2), pp.76-93
2006
DOI: 10.1080/10920277.2006.10596249
Abstract
Abstract The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the International Congress of Actuaries in New York (1957). For a stock company that pays dividends to its shareholders, what is the strategy that maximizes the expectation of the discounted dividends (until possible ruin)? Jeanblanc-Picqué and Shiryaev (1995) and Asmussen and Taksar (1997) solved the problem in the Brownian motion model, when a ceiling is imposed for the dividend rate. Here we study the problem with the Brownian motion generalized to a compound Poisson process. In particular, we derive a rule for deciding between plowback and dividend payout, which is a key issue in corporate finance.
Details
- Title: Subtitle
- On Optimal Dividend Strategies In The Compound Poisson Model
- Creators
- Hans U GerberElias S.W Shiu
- Resource Type
- Journal article
- Publication Details
- North American Actuarial Journal, Vol.10(2), pp.76-93
- DOI
- 10.1080/10920277.2006.10596249
- ISSN
- 1092-0277
- eISSN
- 2325-0453
- Language
- English
- Date published
- 2006
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9983986087302771
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