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SUMMARY:Optimal Dividend Payments
DTSTART:20150414T121500
DTEND:20150414T131500
DTSTAMP:20260407T175718Z
UID:70fcbf1cab179b88e77f179a0980a4bfc20fdbe6474d4299db56c94a
CATEGORIES:Conferences - Seminars
DESCRIPTION:Mete SONER (ETHZ)\nThis classical problem is to design an opti
 mal dividend payment scheme that maximizes the expected discounted dividen
 d payments until bankruptcy.  The cash flow of the company is modeled as 
 continuous diffusion process with a given positive mean rate.  It is well
  known  this is also the De Finetti problem in insurance (with Levy type 
 cash flows).  In joint work with Akyildirim\, Guney and Rochet\, we consi
 dered the generalization of this problem to the case of random interest ra
 te and also we allow for issuance at any time and at any size chosen optim
 ally by the company. We have shown that in the case when the interest rate
  is a simple Markov chain with two values\, the company does not wait unti
 l bankruptcy to initiate an issuance.  In an on-going project with Rochet
  and Reppen\, we consider the extension when the drift is  not fixed but 
 random. In this talk\, I will outline these results.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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