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Dividend optimisation: A behaviouristic approach

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  • Brinker, Leonie Violetta
  • Eisenberg, Julia

Abstract

In this paper, we study a dividend maximisation problem for a Brownian risk model as a surplus and a Markov-switching model describing the preference rate of an insurer. The preference rate can attain two values – a positive and a negative. The negative preference reflects the situation when the uncertainty prevails and the insurer shows more waiting tendency. In the times of the positive preference the insurer is in modus operandi.

Suggested Citation

  • Brinker, Leonie Violetta & Eisenberg, Julia, 2021. "Dividend optimisation: A behaviouristic approach," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 202-224.
    • Handle: RePEc:eee:insuma:v:101:y:2021:i:pb:p:202-224
    DOI: 10.1016/j.insmatheco.2021.08.008
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    References listed on IDEAS

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    Cited by:

    1. Giorgio Ferrari & Patrick Schuhmann & Shihao Zhu, 2021. "Optimal Dividends under Markov-Modulated Bankruptcy Level," Papers 2111.03724, arXiv.org, revised Jun 2022.
    2. Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao, 2022. "Optimal dividends under Markov-modulated bankruptcy level," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 146-172.
    3. Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao, 2021. "Optimal Dividends under Markov-Modulated Bankruptcy Level," Center for Mathematical Economics Working Papers 657, Center for Mathematical Economics, Bielefeld University.
    4. Tao, Cheng & Rong, Ximin & Zhao, Hui, 2023. "Stochastic control with inhomogeneous regime switching: Application to consumption and investment with unemployment and reemployment," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    5. Eisenberg, Julia & Krühner, Paul, 2022. "On Itô’s formula for semimartingales with jumps and non-C2 functions," Statistics & Probability Letters, Elsevier, vol. 184(C).

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    More about this item

    Keywords

    Optimal control; Dividends; Brownian risk model; Markov switching; Parisian ruin;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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