In this paper we investigate the optimal risk control and dividend distribution problem for a diffusion model with a terminal value. Usually the insurer cedes risk by means of a reinsurance contract, and pays dividends out dynamically from the surplus. Consider that the insurer is trying to balance risk control and dividend payout in terms of reinsurance and dividend distribution policies. Then...

Within a general equilibrium model with habit persistence preferences and time varying expected dividend growth, we obtain a number of novel predictions about the time series of the cross section of asset prices. We show that assets of longer duration, i.e. that pay far in the future, are typically riskier than those of shorter duration. However, those assets that are characterized by a substan...

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...

This paper divulges the long term relationship among earning, investment and dividends from 2000 to 2011. Empirical evidence was collected to explore the Modigliani and miller theory of dividend irrelevance. Data was collected from all the sectors but it was ensured that firms did not have negative data of earnings as it is earnings which are either transformed into investment or dividends. Mul...

I use model-free methods to estimate the term structures of variance risk premium (VRP) and skewness (SRP) derived from dividend futures options. find that VRP is on average negative, whereas SRP positive. They have unique characteristics can hardly be explained by equity factors moment premia. present evidence both premia contain significant forecasting power for returns in- out-of-sample. Div...

The financial crisis renewed interest in the relation between pay-for-performance compensation and risk taking incentives. We examine whether paying top executives with options induces them to take more risk. To identify the causal effect of options, we exploit two distinct sources of variation in option compensation that arise from institutional features of multi-year grant cycles. We find tha...

This article considers the dividend optimization problem for an insurer with a jumpdiffusion risk process in the presence of fixed and proportional transaction costs. Due to the presence of a fixed transaction cost, the mathematical problem becomes an impulse stochastic control problem. Using a stochastic impulse control approach, we transform the stochastic control problem into a quasi-variati...