On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
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DOI：
10.1239/aap/1346955269
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发表时间：
2012-09
影响因子：
1.2
通讯作者：
Jiaqin Wei;Rongming Wang;Hailiang Yang
中科院分区：
文献类型：
--
作者：
Jiaqin Wei;Rongming Wang;Hailiang Yang
在本文中，我们考虑了具有政权切换的扩散模型下的最优股利策略。与经典风险理论相反，股息只能在泊松过程到达时支付。通过求解辅助最优问题，我们表明最优策略是调制屏障策略。值函数可以通过迭代或通过求解微分方程组来获得。我们还提供了一个数值例子来说明限制对股息支付时间的影响。
In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times of a Poisson process. By solving an auxiliary optimal problem we show that the optimal strategy is the modulated barrier strategy. The value function can be obtained by iteration or by solving the system of differential equations. We also provide a numerical example to illustrate the effects of the restriction on the timing of the payment of dividends.