No dia 12 de outubro, Hansjoerg Albrecher, da Universidade de Lausanne (Suiça), apresenta no ISEG o estudo “Optimal ratcheting of dividends in insurance”.
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.
Os seminários de investigação decorrem de 21 de setembro a 14 de dezembro, às quartas-feiras, das 13h00 às 14h00, no Anfiteatro Novo Banco (Edifício Quelhas, 4º piso).
As sessões contam com a participação de docentes do ISEG e de outras escolas nacionais e internacionais, onde serão abordados tópicos relacionados com a Economia, Gestão, Finanças, Ciências Sociais e Matemática.
Entrada livre.
