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Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
Authors:Lihua Bai  Junyi Guo
Institution:1. School of Mathematical Sciences and LPMC , Nankai University , Tianjin, 300071, P.R. China lihuabaink@yahoo.com.cn;3. School of Mathematical Sciences and LPMC , Nankai University , Tianjin, 300071, P.R. China
Abstract:In this paper, we study optimal dividend problem in the classical risk model. Transaction costs and taxes are required when dividends occur. The problem is formulated as a stochastic impulse control problem. By solving the corresponding quasi-variational inequality, we obtain the analytical solutions of the optimal return function and the optimal dividend strategy when claims are exponentially distributed. We also find a formula for the expected time between dividends. The results show that, as the dividend tax rate decreases, it is optimal for the shareholders to receive smaller but more frequent dividend payments.
Keywords:Dividends  Quasi-variational inequality  Optimal strategy  Stochastic impulse control  Exponential claim distribution
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