Optimal dividends paid in a foreign currency for a Lévy Insurance risk model
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| 001 | MAP20210026348 | ||
| 003 | MAP | ||
| 005 | 20210927115820.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
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| 100 | 1 | $0MAPA20210032653$aEisenberg, Julia | |
| 245 | 1 | 0 | $aOptimal dividends paid in a foreign currency for a Lévy Insurance risk model$cJulia Eisenberg, Zbigniew Palmowski |
| 520 | $aThis article considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows a spectrally negative Lévy process. We assume that the exchange rate is described by a an exponentially Lévy process, possibly containing the same risk sources like the surplus of the insurance company under consideration. The control mechanism chooses the amount of dividend payments. The objective is to maximize the expected dividend payments received until the time of ruin and a penalty payment at the time of ruin, which is an increasing function of the size of the shortfall at ruin. A complete solution is presented to the corresponding stochastic control problem. Via the corresponding HamiltonJacobiBellman equation we find the necessary and sufficient conditions for optimality of a single dividend barrier strategy. A number of numerical examples illustrate the theoretical analysis. | ||
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080541750$aMoneda | |
| 650 | 4 | $0MAPA20090041738$aReparto de dividendos | |
| 700 | 1 | $0MAPA20210032660$aPalmowski, Zbigniew | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g06/09/2021 Tomo 25 Número 3 - 2021 , p. 417-437 | |
| 856 | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%0A%0A%5Banote%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%5D%0A%0AGracias |