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International conference "Stochastic Optimization and Optimal Stopping"
September 27, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Optimal dividend-payout in random discrete time

Nicole Bäuerle

Universität Karlsruhe, Germany

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Nicole Bäuerle
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Abstract: Assume that the surplus process of an insurance company is described by a general Levy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. In this setting we show that the optimal dividend pay-out policy is a band-policy. If the renewal process is a Poisson process, it is further shown that for Cramer–Lundberg risk processes with exponential claim sizes and its diffusion limit the optimal policy collapses to a barrier-policy.

Language: English

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