Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model

DOI10.1016/j.nahs.2017.08.007zbMath1378.91102OpenAlexW2755980529MaRDI QIDQ1690497

Senren Tan, Zhuo Jin, G. George Yin

Publication date: 19 January 2018

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2017.08.007

zbMATH Keywords

stochastic controlregime switchingjump-diffusiondividend strategydebt constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (4)

Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

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