Abstract not found

This paper is devoted to the description and study of a family of estimators, that we shall call T -estimators (T for tests), for minimax estimation and model selection. Their construction is based on former ideas about deriving estimators from some families of tests due to Le Cam (1973 and 1975) and Birge (1983, 1984a and b) and about complexity based model selection from Barron and Cover (1991).

Abstract not found

We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric Brownian process with an upper reflecting (dividend) barrier and a lower absorbing (ruin) barrier. Analytic solutions to the value function of the restricted asset value process are provided. We also solve for the survival probability and the expected present value of future dividend payouts over a given time horizon. The sensitivities of the firm asset value and dividend payouts to the dividend barrier, volatility of the firm asset value and firm’s credit quality are also examined. Key words: dividend-ruin model, dividend payouts, reflecting and absorbing barriers, survival probability