Singular optimal dividend control for the regime-switching Cramer-Lundberg model with credit and debit interest

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:257

Article

Zhu, Jinxia

关键词: Band strategy;    Compound Poisson process;    Cramer-Lundberg model;    Dividend optimization;    Regime switching;    Singular control;   

DOI  :  10.1016/J.cam.2013.08.033

来源: Elsevier

【 摘 要 】

We investigate the dividend optimization problem for a company whose surplus process is modeled by a regime-switching compound Poisson model with credit and debit interest. The surplus process is controlled by subtracting the cumulative dividends. The performance of a dividend distribution strategy which determines the timing and amount of dividend payments, is measured by the expectation of the total discounted dividends until ruin. The objective is to identify an optimal dividend strategy which attains the maximum performance. We show that a regime-switching band strategy is optimal. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

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