A Note on the Optimal Dividends Paid in a Foreign Currency

Julia Eisenberg; Paul Krühner

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arXiv · 1603.07615

A Note on the Optimal Dividends Paid in a Foreign Currency

Julia Eisenberg·Paul Krühner

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Abstract

We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are declared or paid in a foreign currency. The currency fluctuation is modelled as a L\'evy process. We consider both cases: restricted and unrestricted dividend payments. It turns out that the value function and the optimal strategy can be calculated explicitly.

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Julia Eisenberg, Paul Krühner. 2016-03-24. A Note on the Optimal Dividends Paid in a Foreign Currency. https://arxiv.org/abs/1603.07615

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