Skip to main content
×
×
Home

On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model

  • Jiaqin Wei (a1), Rongming Wang (a1) and Hailiang Yang (a2)
Abstract

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.

    • Send article to Kindle

      To send this article to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle. Find out more about sending to your Kindle.

      Note you can select to send to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

      Find out more about the Kindle Personal Document Service.

      On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
      Available formats
      ×
      Send article to Dropbox

      To send this article to your Dropbox account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your <service> account. Find out more about sending content to Dropbox.

      On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
      Available formats
      ×
      Send article to Google Drive

      To send this article to your Google Drive account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your <service> account. Find out more about sending content to Google Drive.

      On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model
      Available formats
      ×
Copyright
Corresponding author
Postal address: School of Finance and Statistics, East China Normal University, Shanghai, 200241, China.
∗∗ Email address: jiaqinwei@gmail.com
∗∗∗ Email address: rmwang@stat.ecnu.edu.cn
∗∗∗∗ Postal address: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China. Email address: hlyang@hku.hk
Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Advances in Applied Probability
  • ISSN: 0001-8678
  • EISSN: 1475-6064
  • URL: /core/journals/advances-in-applied-probability
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×

Keywords

MSC classification

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 22 *
Loading metrics...

Abstract views

Total abstract views: 138 *
Loading metrics...

* Views captured on Cambridge Core between September 2016 - 22nd July 2018. This data will be updated every 24 hours.