Journal article

On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency

Benjamin Avanzi, Eric CK Cheung, Bernard Wong, Jae-Kyung Woo



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 etal., 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..

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University of Melbourne Researchers


Awarded by Research Grants Council of the Hong Kong Special Administrative Region

Funding Acknowledgements

The authors would like to thank an anonymous referee for helpful comments and suggestions, as well as Vincent Tu for research assistance. Benjamin Avanzi and Bernard Wong would like to acknowledge support from an Australian School of Business Research Grant. Support from the Research Grants Council of the Hong Kong Special Administrative Region (Project Number: HKU 701212P) is also gratefully acknowledged by Eric Cheung, as is support for J.-K. Woo from a start-up fund provided by the Faculty of Science and the Department of Statistics and Actuarial Science at the University of Hong Kong.