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Friday, September 18, 2020

Friday, September 18, 2020 — 10:30 to 10:30 AM EDT

De Finetti's optimal dividends problem with linearly bounded payment rates

Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a Brownian model, we prove the optimality of a member of a new family of control strategies called delayed linear control strategies, for which the controlled process is a refracted diffusion process. For some parameters specifications, we retrieve the strategy initially proposed by Avanzi & Wong (2012) to regularize dividend payments, which is more consistent with actual practice.

Please Note: This talk will be hosted on Webex. To join please the following link: Department Seminar by Jean-Francois Renaud

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