In this paper we consider a risk model with two independent classes of insurance risks in the presence multi-layer dividend strategy. We assume that both claim number processes are renewal phase-type inter-arrival times. By analysing Markov chains associated given distributions times, algorithmic schemes for determination explicit expressions Gerber–Shiu expected discounted penalty function, as...

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We show how to derive an optimal strategy for exponential claim amounts and construct a numerical procedure to deal with general claim amount distributions. 1 C...

We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other’s deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among all admissible dividend strategies) until ruin of both companies, by extending...

This paper examines earnings changes surrounding firms' decisions to initiate or omit dividend payments. Firms that initiate (omit) dividend payments have positive (negative) earnings changes both before and after the dividend policy change. The subsequent earnings changes arc positively related to the dividend announcement return. Also, the stock price reactions at the announcement of subseque...

In this paper, we consider a company where surplus follows a rather general diffusion process and whose objective is to maximize expected discounted dividend payments. With each dividend payment there are transaction costs and taxes and it is shown in [7] that under some reasonable assumptions, optimality is achieved by using a lump sum dividend barrier strategy, i.e. there is an upper barrier ...

In this paper we investigate the problem of optimal dividend distribution in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a drifted Brownian motion modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. The objective is to maximize the expected cumulative discounted divi...

In this short paper, we show how uctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividend payments until ruin in a Lévy insurance risk model with a dividend barrier.

3 ABSTRACT This paper investigates the dividend decisions of firms in the UK reporting losses after sustained periods of profitability. It is found that loss-making firms are more likely to reduce dividends compared to firms that remain profitable, although a loss is far from a guarantee that the dividend payment will be reduced. A lower propensity to reduce dividends is found in the UK relativ...

The purpose of this study is to identify the determinants of dividend policy in Malaysian financial institutions. Panel data set were constructed from 33 financial institutions in Malaysia for a period of 10 years (2001-2010). The results show a statistically significant positive relationship between dividend policy and profitability, which implies that Malaysian financial institutions distribu...