Bayesian Dividend Optimization and Finite Time Ruin Probabilities
نویسندگان
چکیده
منابع مشابه
Bayesian Dividend Optimization and Finite Time Ruin Probabilities
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant and observable volatility and constant but unknown drift parameter. For transforming the problem to a problem with complete information, we derive a suitable f...
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ژورنال
عنوان ژورنال: Stochastic Models
سال: 2014
ISSN: 1532-6349,1532-4214
DOI: 10.1080/15326349.2014.900390