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A Note on the Optimal Dividends Paid in a Foreign Currency

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  • Julia Eisenberg
  • Paul Kruhner

Abstract

We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are declared or paid in a foreign currency. The currency fluctuation is modelled as a L\'evy process. We consider both cases: restricted and unrestricted dividend payments. It turns out that the value function and the optimal strategy can be calculated explicitly.

Suggested Citation

  • Julia Eisenberg & Paul Kruhner, 2016. "A Note on the Optimal Dividends Paid in a Foreign Currency," Papers 1603.07615, arXiv.org.
    • Handle: RePEc:arx:papers:1603.07615
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    References listed on IDEAS

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    1. Eisenberg, Julia, 2015. "Optimal dividends under a stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 259-266.
    2. Hubalek, Friedrich & Schachermayer, Walter, 2004. "Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 193-225, April.
    3. Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 1-15, June.
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    Cited by:

    1. Qianqian Zhou & Junyi Guo, 2020. "Optimal Control of Investment for an Insurer in Two Currency Markets," Papers 2006.02857, arXiv.org.
    2. Zailei Cheng, 2017. "Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate," Papers 1705.08411, arXiv.org.

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