Colpo, F., & Eisenberg, J. (2024). Optimal dividend for an Ornstein Uhlenbeck surplus. In EAJ’24 Conference : 6th European Actuarial Journal Conference (pp. 67–67).
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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Published in:
EAJ'24 Conference : 6th European Actuarial Journal Conference
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Date (published):
9-Sep-2024
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Event name:
6th European Actuarial Journal Conference (EAJ'24)
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Event date:
9-Sep-2024 - 11-Sep-2024
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Event place:
Lisbon, Portugal
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Number of Pages:
1
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Keywords:
Optimal dividents
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Abstract:
We consider an insurance company whose surplus follows an Ornstein-Uhlenbeck(OU) process driven by
a standard Brownian motion. The company pays dividends to its shareholders and seeks to maximise the
expected value of the future discounted dividends. Late dividend payments are penalised not only through
the usual discounting, but through an additional exponential factor.
We find the optimal strategy for the case of mean-reverting and non-mean-reverting OU processes and
illustrate out findings by a numerical example.
