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
*******************************************************************************************
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@unimib.it
*******************************************************************************************