کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053777 | 1476522 | 2015 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We study the dividend optimization problem for a company where surplus in the absence of dividend payments follows a Cramér-Lundberg process compounded by constant force of interest. The company controls the times and amounts of dividend payments subject to reserve constraints that dividends are not payable if the surplus is below b0 and that a dividend payment, if any, cannot reduce the surplus to a level below b0, and its objective is to maximize the expected total discounted dividends. We show how the optimality can be achieved under the constraints and construct an optimal strategy of a band type.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 46, April 2015, Pages 142-156
Journal: Economic Modelling - Volume 46, April 2015, Pages 142-156
نویسندگان
Jinxia Zhu, Feng Chen,