Optimal Dividends Under Model Uncertainty
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Publication:6159080
DOI10.1137/21M1447453zbMATH Open1517.91188arXiv2109.09137OpenAlexW3199638879MaRDI QIDQ6159080FDOQ6159080
Authors: Prakash Chakraborty, Asaf Cohen, Virginia R. Young 
Publication date: 1 June 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear Hamilton-Jacobi-Bellman variational inequality. In addition, this value function embodies a unique optimal threshold strategy for the insurer's surplus, thereby making it the smooth pasting of a non-linear and linear part at the location of the threshold. Furthermore, we obtain continuity and monotonicity of the value function and the threshold strategy with respect to the parameter that measures ambiguity of our model.
Full work available at URL: https://arxiv.org/abs/2109.09137
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Actuarial mathematics (91G05) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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Cited In (8)
- Optimal dividends and ALM under unhedgeable risk
- Optimal risk exposure and dividend payout policies under model uncertainty
- CORPORATE BOND RISK FROM STOCK DIVIDEND UNCERTAINTY
- Stable dividends under linear-quadratic optimisation
- Title not available (Why is that?)
- Optimal dividend policies with random profitability
- Optimal dividend-distribution strategy under ambiguity aversion
- A refined asymptotic framework for dividend yield in predictive regressions
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