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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...

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Detalles Bibliográficos
Autores principales: Strini, Josef Anton, Thonhauser, Stefan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2019
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.
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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
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