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On a dividend problem with random funding
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling d...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2019
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6860605/ https://www.ncbi.nlm.nih.gov/pubmed/31807415 http://dx.doi.org/10.1007/s13385-019-00208-y |
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author | Strini, Josef Anton Thonhauser, Stefan |
author_facet | Strini, Josef Anton Thonhauser, Stefan |
author_sort | Strini, Josef Anton |
collection | PubMed |
description | We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling dividends we use the common approach whereas for the funding opportunity we use the jump times of another independent Poisson process at which we choose an appropriate funding height. In case of exponentially distributed claims we are able to determine an explicit solution to the problem and derive an optimal strategy whose nature heavily depends on the size of the transaction costs. Furthermore, the optimal strategy identifies unfavourable surplus positions prior to ruin at which refunding is highly recommended. |
format | Online Article Text |
id | pubmed-6860605 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2019 |
publisher | Springer Berlin Heidelberg |
record_format | MEDLINE/PubMed |
spelling | pubmed-68606052019-12-03 On a dividend problem with random funding Strini, Josef Anton Thonhauser, Stefan Eur Actuar J Original Research Paper We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding (subject to some proportional transaction costs). For modelling dividends we use the common approach whereas for the funding opportunity we use the jump times of another independent Poisson process at which we choose an appropriate funding height. In case of exponentially distributed claims we are able to determine an explicit solution to the problem and derive an optimal strategy whose nature heavily depends on the size of the transaction costs. Furthermore, the optimal strategy identifies unfavourable surplus positions prior to ruin at which refunding is highly recommended. Springer Berlin Heidelberg 2019-06-13 2019 /pmc/articles/PMC6860605/ /pubmed/31807415 http://dx.doi.org/10.1007/s13385-019-00208-y Text en © The Author(s) 2019 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. |
spellingShingle | Original Research Paper Strini, Josef Anton Thonhauser, Stefan On a dividend problem with random funding |
title | On a dividend problem with random funding |
title_full | On a dividend problem with random funding |
title_fullStr | On a dividend problem with random funding |
title_full_unstemmed | On a dividend problem with random funding |
title_short | On a dividend problem with random funding |
title_sort | on a dividend problem with random funding |
topic | Original Research Paper |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6860605/ https://www.ncbi.nlm.nih.gov/pubmed/31807415 http://dx.doi.org/10.1007/s13385-019-00208-y |
work_keys_str_mv | AT strinijosefanton onadividendproblemwithrandomfunding AT thonhauserstefan onadividendproblemwithrandomfunding |