Department Seminar by Virginia Young

Friday, February 12, 2021 10:00 am - 11:00 am EST (GMT -05:00)

Please Note: This seminar will be given online.

Actuarial Science and Financial Mathematics seminar series

Virgina Young, Professor
University of Michigan

Link to join seminar: Hosted on Webex

Optimal dividend problem: asymptotic analysis

We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem.

Our results parallel some of those in Bauerle (Math. Fin., 2004), but we obtain sharper results because we use a different technique for obtaining them. Specifically, Bauerle (Math. Fin., 2004) uses probabilistic techniques and relies on convergence in distribution of the underlying processes. By contrast, we use comparison results from the theory of differential equations, and these methods allow us to determine the rate of convergence of the value functions in question. This work is joint with Asaf Cohen.