Análisis de estrategias óptimas de pago de dividendos cuando el excedente sigue un proceso Browniano Drift
Marín, Juan Sebastian
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In this paper, we study the case when the surplus of an insurance company behaves according to a Brownian Drift motion, subsequently we derive the modified surplus dynamics assuming both a barrier strategy and a continuous payment strategy in order to determine the optimal parameters which make that each of these strategies maximize the mathematical expectation of the present value of the discounted dividends. In addition, we compare the results obtained with a continuous payment strategy with those obtained with a barrier strategy. The numerical experiments suggest that the barrier strategy is more profitable than the continuous payment one under different constellations of parameters (including different levels of volatility), and therefore it may be concluded that independently of the risk aversion profile of the investor, if he decides to invest, then he will always prefer his dividends to be paid according with a barrier strategy.