A note on the optimal dividends paid in a foreign currency. (10th November 2016)

• Record Type: Journal Article
• Authors: Eisenberg, Julia; Krühner, Paul
• Is Part Of: Annals of actuarial science. Volume 11:Number 1(2017:Mar.)
• Page Start: 67
• Page End: 73
• Publication Date: 2016-11-10
• Subjects: Optimal control, -- Hamilton–Jacobi–Bellman equation, -- Lévy processes, -- Dividends, -- Foreign currency; Actuarial science -- Periodicals; Insurance, Life -- Periodicals; 368.010941
• DOI: 10.1017/S1748499516000191
• Languages: English
• ISSNs: 1748-4995

Abstract

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 Lévy 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.