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Article: On the optimal dividend strategy in a regime-switching diffusion model
Title | On the optimal dividend strategy in a regime-switching diffusion model |
---|---|
Authors | |
Keywords | Dividend strategy HJB equation Markov decision process Regime switching |
Issue Date | 2012 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Advances in Applied Probability, 2012, v. 44 n. 3, p. 886-906 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/186284 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.640 |
DC Field | Value | Language |
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dc.contributor.author | Wei, J | en_US |
dc.contributor.author | Wang, R | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2013-08-20T12:02:44Z | - |
dc.date.available | 2013-08-20T12:02:44Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Advances in Applied Probability, 2012, v. 44 n. 3, p. 886-906 | en_US |
dc.identifier.issn | 0001-8678 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/186284 | - |
dc.description.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. | - |
dc.language | eng | en_US |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | en_US |
dc.relation.ispartof | Advances in Applied Probability | en_US |
dc.rights | Advances in Applied Probability. Copyright © Applied Probability Trust. | en_US |
dc.subject | Dividend strategy | - |
dc.subject | HJB equation | - |
dc.subject | Markov decision process | - |
dc.subject | Regime switching | - |
dc.title | On the optimal dividend strategy in a regime-switching diffusion model | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1239/aap/1346955269 | en_US |
dc.identifier.scopus | eid_2-s2.0-84872064231 | - |
dc.identifier.hkuros | 218764 | en_US |
dc.identifier.hkuros | 217277 | - |
dc.identifier.volume | 44 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 886 | en_US |
dc.identifier.epage | 906 | en_US |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.issnl | 0001-8678 | - |