Optimal Dividend Payments
Event details
| Date | 14.04.2015 |
| Hour | 12:15 › 13:15 |
| Speaker | Mete SONER (ETHZ) |
| Location | |
| Category | Conferences - Seminars |
This classical problem is to design an optimal dividend payment scheme that maximizes the expected discounted dividend 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 considered the generalization of this problem to the case of random interest rate and also we allow for issuance at any time and at any size chosen optimally 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 until 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.
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