Optimal dividend strategies for a compound poisson process under transaction costs and power utility

Stefan Thonhauser; Hansjörg Albrecher

doi:10.1080/15326349.2011.542734

Optimal dividend strategies for a compound poisson process under transaction costs and power utility

Stefan Thonhauser^*, Hansjörg Albrecher

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

Original language	English
Pages (from-to)	120-140
Number of pages	21
Journal	Stochastic Models
Volume	27
Issue number	1
DOIs	https://doi.org/10.1080/15326349.2011.542734
Publication status	Published - 1 Jan 2011
Externally published	Yes

Keywords

Classical risk model
Dividends
Stochastic control
Transaction costs

ASJC Scopus subject areas

Modelling and Simulation
Statistics and Probability
Applied Mathematics

Fields of Expertise

Information, Communication & Computing

Access to Document

10.1080/15326349.2011.542734

Cite this

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AB - We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

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KW - Transaction costs

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Optimal dividend strategies for a compound poisson process under transaction costs and power utility

Abstract

Keywords

ASJC Scopus subject areas

Fields of Expertise

Access to Document

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