The Dividend Problem in a Diffusive Stochastic Model

DOI10.1007/BF02808356MaRDI QIDQ4219949zbMATH OpenFDO

Authors Emilia Di Lorenzo, Marilena Sibillo

Publication date 11 November 1998

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02808356

zbMATH Keywords

diffusive stochastic modelfinancial riskinvestment riskportfolio of life insurance policies

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

In the recent literature a wide space is dedicated to the study of stochastic models for an insurance company management, paying attention not only to insurance risk in its strict sense, that is the risk connected to the specificity of contracts, but to financial risk too, connected to the randomness of company's investment returns. Financial risk, as known not reducible increasing the number of contracts in portfolio, surely is a great source of uncertainty, even in very large portfolios. In this kind of problems, methods and techniques for the study of financial risk in actuarial field are often borrowed from finance; but finance theories (as CAPM, APT and so on) are not immediately applicable in actuarial field, where assumptions as efficient markets, frictionless trading etc. are not satisfied. We can add that, by means of these techniques, the measurement of the riskiness of an insurance portfolio and of the solvency of an insurance company are not possible. So, to this aim, the generalization of classic actuarial techniques, and their consequent insertion in a model in which a stochastic interest is considered, seems more fit. In this paper we want to extend an approach, we have already used for studying the investment risk for a portfolio of life insurance policies, conjugating themes of collective risk theory with models we presented in life insurance individual theory. Aim of this study is, in particular, the determination of the expected value of dividends. For the first time the determination of discounted dividend expectation value is formulated in the framework of a mathematical model in which financial risk is considered. Under the above conditions, starting from a diffusive stochastic model for the cash-balance, we will obtain the expression of the expectation of discounted dividends as a solution of a differential equation with appropriate boundary conditions relating to the presence of a barrier regulating dividend payments.

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Cites work

• Aspects of risk theory
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• scientific article; zbMATH DE number 4086836 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
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• Optimal dividend policy
• Optimal reinsurance
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Cited in

(4)

• Dividend problems in the dual model with diffusion and exponentially distributed observation time
• STOCHASTIC APPROACH TO DIVIDEND EQUALIZATION FUND MODELLING AND SOLVENCY
• scientific article; zbMATH DE number 5631012 (Why is no real title available?)
• Strategies for dividend distribution: a review

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