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Risks 2016, 4(4), 37;

A Note on Realistic Dividends in Actuarial Surplus Models

School of Risk and Actuarial Studies, UNSW Australia Business School, UNSW Sydney, NSW 2052, Australia
Département de Mathématiques et de Statistique, Université de Montréal, Montréal, QC H3T 1J4, Canada
Author to whom correspondence should be addressed.
Academic Editor: Mogens Steffensen
Received: 3 August 2016 / Revised: 21 September 2016 / Accepted: 3 October 2016 / Published: 20 October 2016
Full-Text   |   PDF [340 KB, uploaded 20 October 2016]


Because of the profitable nature of risk businesses in the long term, de Finetti suggested that surplus models should allow for cash leakages, as otherwise the surplus would unrealistically grow (on average) to infinity. These leakages were interpreted as ‘dividends’. Subsequent literature on actuarial surplus models with dividend distribution has mainly focussed on dividend strategies that either maximise the expected present value of dividends until ruin or lead to a probability of ruin that is less than one (see Albrecher and Thonhauser, Avanzi for reviews). An increasing number of papers are directly interested in modelling dividend policies that are consistent with actual practice in financial markets. In this short note, we review the corporate finance literature with the specific aim of fleshing out properties that dividend strategies should ideally satisfy, if one wants to model behaviour that is consistent with practice. View Full-Text
Keywords: surplus models; dividends; de Finetti; corporate finance surplus models; dividends; de Finetti; corporate finance
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Avanzi, B.; Tu, V.; Wong, B. A Note on Realistic Dividends in Actuarial Surplus Models. Risks 2016, 4, 37.

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