Journal article
A Note on Realistic Dividends in Actuarial Surplus Models
Benjamin Avanzi, Vincent Tu, Bernard Wong
RISKS | MDPI | Published : 2016
DOI: 10.3390/risks4040037
Abstract
Because of the profitable nature of risk businesses in the long term, de Finetti suggested that surplus models should allow for cash leakages, as otherwise the surplus would unrealistically grow (on average) to infinity. These leakages were interpreted as ‘dividends’. Subsequent literature on actuarial surplus models with dividend distribution has mainly focussed on dividend strategies that either maximise the expected present value of dividends until ruin or lead to a probability of ruin that is less than one (see Albrecher and Thonhauser, Avanzi for reviews). An increasing number of papers are directly interested in modelling dividend policies that are consistent with actual practice in fi..
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Grants
Awarded by Australian Research Council
Funding Acknowledgements
The authors are grateful to Mogens Steffensen for constructive comments on an earlier version of this article, and to reviewers for helpful comments and suggestions. This research was supported under Australian Research Council's Linkage Projects funding scheme (project number LP130100723). Furthermore, Benjamin Avanzi acknowledges financial support from an Australian School of Business Special Research Grant and Vincent Tu acknowledges financial support from an Australian Postgraduate Award and supplementary scholarships provided by the UNSW Australia Business School. The views expressed herein are those of the author and are not necessarily those of the supporting organisations.