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Maximizing dividends without bankruptcy. (English) Zbl 1162.91375
Summary: Consider the classical compound Poisson model of risk theory, in which dividends are paid to the shareholders according to a barrier strategy. Let \(b^{*}\) be the level of the barrier that maximizes the expectation of the discounted dividends until ruin. This paper is inspired by D. C. M. Dickson and H. R. Waters [Astin Bull. 34, No. 1, 49–74 (2004; Zbl 1097.91040)]. They point out that the shareholders should be liable to cover the deficit at ruin. Thus, they consider \(b^{0}\), the level of the barrier that maximizes the expectation of the difference between the discounted dividends until ruin and the discounted deficit at ruin. In this paper, \(b^{*}\) and \(b^{0}\) are compared, when the claim amount distribution is exponential or a combination of exponentials.

MSC:
91G50 Corporate finance (dividends, real options, etc.)
91B30 Risk theory, insurance (MSC2010)
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