On October 12, Hansjoerg Albrecher, from the University of Lausanne (Switzerland), will present the study "Optimal ratcheting of dividends in insurance" at ISEG.
Abstract:
We give an overview of recent developments in identifying optimal strategies for paying out dividends in an insurance company. In particular, we will focus on the case when dividend rates are not allowed to decrease over time. The optimality criterion here is to maximize the expected value of the aggregate discounted dividend payments up to the time of ruin. In the framework of the classical risk model and its Brownian approximation, the solution of the corresponding two-dimensional optimal control problem is presented and optimal strategies are given for several concrete examples. They illustrate that the restriction of ratcheting does not lead to a large efficiency loss when compared to the classical unconstrained optimal dividend strategy. We also consider an extension of the results to drawdown constraints on the dividend rate, where a curious square-root rule emerges.
The research seminars will take place from September 21 to December 14, on Wednesdays, from 1:00 PM to 2:00 PM, at the Novo Banco Amphitheater (Quelhas Building, 4th floor).
Faculty from ISEG and other national and international schools will participate in the sessions, when they will address topics related with Economics, Management, Finance, Social Sciences, and Mathematics.
Free admission.
