On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency
By Benjamin Avanzi, Eric C. K. Cheung, Bernard Wong, Jae-Kyung Woo. 2013
90 citations recorded by the source corpus.
We consider the dual model, which is appropriate for modeling the surplus of companies with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or commission-based companies. Dividend strategies for this model that can be found in the literature include the barrier strategy (e.g., Avanzi et al., 2007) and the threshold strategy (e.g., Cheung, 2008), where dividend decisions are made continuously. While in practice the financial position of a company is typically monitored frequently, dividend decisions are only made periodically along with the publication of its books. In this paper, we introduce a dividend barrier strategy whereby dividend decisions are made only periodically, but still allow ruin to occur at any time (as soon as the surplus is exhausted). This is in contrast to Albrecher et al. (2011a), who introduced periodic dividend payments in the Cramer–Lundberg surplus model, albeit with periodic ruin opportunities as well.
Subfields: Management Information Systems, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/e57a22c4a53a4d2daed782307170d576174aa3f7
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In Management Information Systems
In Management Science and Operations Research
In Statistics and Probability
Citations in the corpus
- Exit identities for L\'evy processes observed at Poisson arrival times (2014, unknown): “This expression is similar to [1], Equation (24), but not identical, because there the dividends are paid at Poissonian times only (see also [8] for a spectrally positive model setup).”
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017, methodology): “Continuous monitoring of solvency with periodic dividends were considered by Albrecher et al. (2011b) in the Brownian risk model, Avanzi et al. (2013) and Avanzi et al. (2014) in the dual compound Poisson model.”