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A0386
Title: Dividend maximization under changing economic environment and partial information Authors:  Michaela Szoelgyenyi - Vienna University of Economics and Business (Austria) [presenting]
Abstract: The value of an insurance company can be defined as the maximal expected discounted dividend payments that can be paid out during the lifetime of the company. We follow this approach to solve the valuation problem of an insurance company. Extending classical contributions we study the optimization problem in a framework that allows for shifts of the economical environment, which is reasonable due to the usual long time horizon of the observation. Furthermore, we assume the current economical state to be unobservable. Specifically, we model the surplus of the insurance company as a diffusion process with an unobservable drift parameter that might shift. This results in a joint filtering and stochastic optimization problem. After applying filtering theory to overcome uncertainty, we are able to characterize the solution of the optimization problem as the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation. A numerical treatment of the problem leads to dividend strategies of threshold type, for which we finally prove admissibility.