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http://hdl.handle.net/1783.1/3302
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| Title: | Finite time dividend-ruin models |
| Authors: | Leung, Kwai Sun
Kwok, Yue Kuen
Leung, Seng Yuen |
| Keywords: | Dividend-ruin model
Dividend payouts
Reflecting and absorbing |
| Issue Date: | Feb-2008 |
| Citation: | Insurance: Mathematics and Economics, v. 42, iss. 1, February 2008, p. 154-162 |
| Abstract: | We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric Brownianprocess with an upper reflecting (dividend) barrier and a lower absorbing (ruin) barrier. Analytic solutions to the value function of the restricted asset value process are provided. We also solve for the survival probability and the expected present value of future dividend payouts over a given time horizon. The sensitivities of the firm asset value and dividend payouts to the dividend barrier, volatility of the firm asset value and firm’s credit quality are also examined. |
| Rights: | Insurance: Mathematics and Economics © copyright (2008) Elsevier. The Journal's web site is located at http://www.sciencedirect.com/' |
| URI: | http://hdl.handle.net/1783.1/3302 |
| Appears in Collections: | MATH Journal/Magazine Articles
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Size | Format |
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| Leung06div.pdf | pre-published version | 201Kb | Adobe PDF | View/Open |
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