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Article: Optimal dividend policy with liability constraint under a hidden Markov regime-switching model
Title | Optimal dividend policy with liability constraint under a hidden Markov regime-switching model |
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Authors | |
Keywords | Stochastic control dividend strategies liability constraint regime-switching |
Issue Date | 2019 |
Publisher | American Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816 |
Citation | Journal of Industrial and Management Optimization, 2019, v. 15 n. 4, p. 1965-1993 How to Cite? |
Abstract | This paper deals with the optimal liability and dividend strategies for an insurance company in Markov regime-switching models. The objective is to maximize the total expected discounted utility of dividend payment in the infinite time horizon in the logarithm and power utility cases, respectively. The switching process, which is interpreted by a hidden Markov chain, is not completely observable. By using the technique of the Wonham filter, the partially observed system is converted to a completely observed one and the necessary information is recovered. The upper-lower solution method is used to show the existence of classical solution of the associated second-order nonlinear Hamilton-Jacobi-Bellman equation in the two-regime case. The explicit solution of the value function is derived and the corresponding optimal dividend policies and liability ratios are obtained. In the multi-regime case, a general setting of the Wonham filter is presented, and the value function is proved to be a viscosity solution of the associated system of Hamilton-Jacobi-Bellman equations. |
Persistent Identifier | http://hdl.handle.net/10722/272968 |
ISSN | 2021 Impact Factor: 1.411 2020 SCImago Journal Rankings: 0.325 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Wei, J | - |
dc.contributor.author | Jin, Z | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2019-08-06T09:20:05Z | - |
dc.date.available | 2019-08-06T09:20:05Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Journal of Industrial and Management Optimization, 2019, v. 15 n. 4, p. 1965-1993 | - |
dc.identifier.issn | 1547-5816 | - |
dc.identifier.uri | http://hdl.handle.net/10722/272968 | - |
dc.description.abstract | This paper deals with the optimal liability and dividend strategies for an insurance company in Markov regime-switching models. The objective is to maximize the total expected discounted utility of dividend payment in the infinite time horizon in the logarithm and power utility cases, respectively. The switching process, which is interpreted by a hidden Markov chain, is not completely observable. By using the technique of the Wonham filter, the partially observed system is converted to a completely observed one and the necessary information is recovered. The upper-lower solution method is used to show the existence of classical solution of the associated second-order nonlinear Hamilton-Jacobi-Bellman equation in the two-regime case. The explicit solution of the value function is derived and the corresponding optimal dividend policies and liability ratios are obtained. In the multi-regime case, a general setting of the Wonham filter is presented, and the value function is proved to be a viscosity solution of the associated system of Hamilton-Jacobi-Bellman equations. | - |
dc.language | eng | - |
dc.publisher | American Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816 | - |
dc.relation.ispartof | Journal of Industrial and Management Optimization | - |
dc.rights | Journal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences. | - |
dc.rights | This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Journal of Industrial and Management Optimization following peer review. The definitive publisher-authenticated version Journal of Industrial and Management Optimization, 2019, v. 15 n. 4, p. 1965-1993 is available online at: http://www.aimsciences.org/article/doi/10.3934/jimo.2018132 | - |
dc.subject | Stochastic control | - |
dc.subject | dividend strategies | - |
dc.subject | liability constraint | - |
dc.subject | regime-switching | - |
dc.title | Optimal dividend policy with liability constraint under a hidden Markov regime-switching model | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.3934/jimo.2018132 | - |
dc.identifier.scopus | eid_2-s2.0-85063143459 | - |
dc.identifier.hkuros | 299911 | - |
dc.identifier.volume | 15 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 1965 | - |
dc.identifier.epage | 1993 | - |
dc.identifier.isi | WOS:000474375400024 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 1547-5816 | - |