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233014 (E10) The dividend problem in a diffusive stochastic model di Lorenzo: Lorenzo E., Sibillo M.,Deutsche Gesellschaft Fu¨r Versicherungsmathematik, Band XXIII, Heft 4, October 1998

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
90 KB
Volume
23
Category
Article
ISSN
0167-6687

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✦ Synopsis

The expectation of the discounted dividend payments is determined in the framework of a mathematical model in which financial risk is considered. In particular, starting from a diffusive stochastic model for the cash-balance, the expression of the expectation of the discounted dividends is obtained as the solution of a differential equation, with appropriate boundary conditions relating to the presence of a barrier regulating dividend payments.

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📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 90 KB

The expectation of the discounted dividend payments is determined in the framework of a mathematical model in which financial risk is considered. In particular, starting from a diffusive stochastic model for the cash-balance, the expression of the expectation of the discounted dividends is obtained