Si avvisa che il giorno mercoledì 11 ottobre alle ore 16 presso l’Università
di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- Sala
del Consiglio) si terrà il seguente seminario:
Speaker: Prof. Giorgio Ferrari (Università di Bielefeld, Germania)
Titolo: “On a Class of Optimal Dividend Problems with Capital Injection”
Abstract:
In this talk I present some recent results on the optimal dividend problem with capital injection. That is the problem of a fund manager aiming at maximising the discounted dividend payments, net of the penalised discounted capital injections needed to avoid bankruptcy of the fund. In our model the surplus dynamics is driven by a general linearly controlled one-dimensional diffusion, that is reflected at zero. Moreover, we assume that the dividend payments are subject to surplus-dependent taxes/transaction costs. We show that depending on the properties of the surplus-dependent taxes/transaction costs we can have different kinds of optimal strategies for the dividend payments. Either it is optimal to follow a classical barrier strategy, or not paying dividend at all is the best thing to do.
Tutti gli interessati sono invitati a partecipare.
Un saluto cordiale,
Emanuela
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Emanuela Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
Università di Milano-Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi, 8
20126 Milano
Tel. 02 64483208
Fax. 02 64483105
e-mail: emanuela.rosazza1(a)unimib.it
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