Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching

DOI10.1007/978-3-0348-0097-6_22zbMath1248.93175OpenAlexW2267390774MaRDI QIDQ2909993

Hailiang Yang, Rong-Ming Wang, Jiaqin Wei

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_22

zbMATH Keywords

stochastic controlregime switchingHJB equationcompound Poisson modeldividend strategy

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (5)

On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model ⋮ Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income ⋮ Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities

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