Journal article
On the Interface Between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs
Benjamin Avanzi, Vincent Tu, Bernard Wong
Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association | Cambridge University Press (CUP) | Published : 2016
DOI: 10.1017/asb.2016.17
Abstract
In the classical optimal dividends problem, dividend decisions are allowed to be made at any point in time — according to a continuous strategy. Depending on the surplus process that is considered and whether dividend payouts are bounded or not, optimal strategies are generally of a band, barrier or threshold type. In reality, while surpluses change continuously, dividends are generally paid on a periodic basis. Because of this, the actuarial literature has recently considered strategies where dividends are only allowed to be distributed at (random) discrete times — according to a periodic strategy. In this paper, we focus on the Brownian risk model. In this context, the optimal continuous ..
View full abstractRelated Projects (1)
Grants
Awarded by Australian Research Council's Linkage Projects funding scheme
Funding Acknowledgements
The authors are grateful to the referees for useful comments that improved the presentation of the paper. Benjamin Avanzi acknowledges financial support from an Australian School of Business Special Research Grant. This research was also supported under Australian Research Council's Linkage Projects funding scheme (project number LP130100723). Vincent Tu acknowledges financial support from an Australian Postgraduate Award and supplementary scholarships provided by the Australian Business School, UNSW. The views expressed herein are those of the authors and are not necessarily those of the supporting organisations.