On Optimal Dividend Strategies In The Compound Poisson Model

Hans U. Gerber · Elias S. W. Shiu

239 citations0/0 files storedNorth American Actuarial Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Corporate Finance and Governance Stochastic processes and financial applications

Abstract

The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the International Congress of Actuaries in New York (1957). For a stock company that pays dividends to its shareholders, what is the strategy that maximizes the expectation of the discounted dividends (until possible ruin)? Jeanblanc-Picqué and Shiryaev (1995) and Asmussen and Taksar (1997) solved the problem in the Brownian motion model, when a ceiling is imposed for the dividend rate. Here we study the problem with the Brownian motion generalized to a compound Poisson process. In particular, we derive a rule for deciding between plowback and dividend payout, which is a key issue in corporate finance.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 239 citations exist upstream.

References

1979An introduction to mathematical risk theory 1998On the Time Value of Ruin 1970Mathematical Methods in Risk Theory 1986Actuarial Mathematics.2000Ruin Probabilities 1997Controlled diffusion models for optimal dividend pay-out 1995Optimization of the flow of dividends 2004Some Optimal Dividends Problems

Cited by

2009Strategies for Dividend Distribution: A Review 2005The compound Poisson risk model with a threshold dividend strategy 2009Optimality results for dividend problems in insurance 2012Exit problems for jump processes with applications to dividend problems 2011Randomized observation periods for the compound Poisson risk model: Dividends 2011Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs 2008

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.