scholarly journals Optimal dividend strategy for an insurance group with contagious default risk

2020 ◽  
pp. 1-27
Author(s):  
Zhuo Jin ◽  
Huafu Liao ◽  
Yue Yang ◽  
Xiang Yu
Keyword(s):  
Default Risk ◽  
Insurance Group ◽  
Optimal Dividend ◽  
Optimal Dividend Strategy

scholarly journals On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model

2012 ◽  
Vol 44 (3) ◽  
pp. 886-906 ◽  
Author(s):  
Jiaqin Wei ◽  
Rongming Wang ◽  
Hailiang Yang
Keyword(s):  
Diffusion Model ◽  
Regime Switching ◽  
Value Function ◽  
Risk Theory ◽  
System Of Differential Equations ◽  
Arrival Times ◽  
Switching Diffusion ◽  
Optimal Dividend ◽  
Optimal Dividend Strategy ◽  
The Value Function

In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times of a Poisson process. By solving an auxiliary optimal problem we show that the optimal strategy is the modulated barrier strategy. The value function can be obtained by iteration or by solving the system of differential equations. We also provide a numerical example to illustrate the effects of the restriction on the timing of the payment of dividends.

scholarly journals On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model

2012 ◽  
Vol 44 (03) ◽  
pp. 886-906 ◽  
Author(s):  
Jiaqin Wei ◽  
Rongming Wang ◽  
Hailiang Yang
Keyword(s):  
Diffusion Model ◽  
Regime Switching ◽  
Value Function ◽  
Risk Theory ◽  
System Of Differential Equations ◽  
Arrival Times ◽  
Switching Diffusion ◽  
Optimal Dividend ◽  
Optimal Dividend Strategy ◽  
The Value Function

In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times of a Poisson process. By solving an auxiliary optimal problem we show that the optimal strategy is the modulated barrier strategy. The value function can be obtained by iteration or by solving the system of differential equations. We also provide a numerical example to illustrate the effects of the restriction on the timing of the payment of dividends.

The Optimal Dividend Problem in the Dual Model

2014 ◽  
Vol 46 (03) ◽  
pp. 746-765
Author(s):  
Erik Ekström ◽  
Bing Lu
Keyword(s):  
Fixed Point ◽  
Firm Value ◽  
Value Function ◽  
Fixed Point Method ◽  
Optimal Harvesting ◽  
Control Problems ◽  
Dual Model ◽  
Optimal Dividend ◽  
Optimal Dividend Strategy ◽  
Barrier Type

We study de Finetti's optimal dividend problem, also known as the optimal harvesting problem, in the dual model. In this model, the firm value is affected both by continuous fluctuations and by upward directed jumps. We use a fixed point method to show that the solution of the optimal dividend problem with jumps can be obtained as the limit of a sequence of stochastic control problems for a diffusion. In each problem, the optimal dividend strategy is of barrier type, and the rate of convergence of the barrier and the corresponding value function is exponential.

CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS

2010 ◽  
Vol 13 (04) ◽  
pp. 537-576 ◽  
Author(s):  
YANN BRAOUEZEC ◽  
CHARLES-ALBERT LEHALLE
Keyword(s):  
Default Risk ◽  
Agency Costs ◽  
Dividend Policy ◽  
Base Case ◽  
Financial Policy ◽  
Maturity Model ◽  
Corporate Liquidity ◽  
Optimal Dividend ◽  
Corporate Financial Policy ◽  
Optimal Dividend Policy

We study the simplest discrete-time finite-maturity model in which default arises when the firm is not able to pay its debt obligation using the current cash-flow plus the corporate liquidity. An important distinction is made between liquidity and solvency of the firm. The corporate financial policy is simultaneously defined by the dividend policy, and the leverage policy (the coupon and the principal of the bond). When the corporate financial policy implies no default risk and no taxes, we show that the corporate financial policy is irrelevant and this irrelevance result holds for any probability measure. When the corporate financial policy implies now some default risk, we show that the value of the firm is a piecewise decreasing function of the dividend policy for any leverage policy, so that dividend policy affects the value of the firm. However, shareholders may not always have the incentives to implement this optimal dividend policy. We show that when the value of the assets is low, shareholders have an incentive to deviate from this optimal dividend policy, and we also study the resulting agency costs. We finally compare the resulting quantities of our model to the base case suggested by Huang and Huang (2003).

scholarly journals Optimal dividends in the dual risk model under a stochastic interest rate

2017 ◽  
Vol 04 (01) ◽  
pp. 1750010
Author(s):  
Zailei Cheng
Keyword(s):  
Interest Rate ◽  
Risk Model ◽  
Stochastic Interest Rate ◽  
Closed Form Solutions ◽  
Optimal Dividends ◽  
Optimal Dividend ◽  
Stochastic Interest ◽  
Dual Risk Model ◽  
Optimal Dividend Strategy ◽  
Exponential Lévy Process

Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual risk model, under a stochastic interest rate, assuming the discounting factor follows a geometric Brownian motion or exponential Lévy process. We will show that closed form solutions can be obtained.

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