Asymptotically optimal dividend policy for regime-switching compound Poisson models

DOI10.1007/s10255-010-0023-0zbMath1204.91061OpenAlexW2061200011MaRDI QIDQ601938

Zhuo Jin, Hailiang Yang, G. George Yin

Publication date: 29 October 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-010-0023-0

zbMATH Keywords

regime switchingcompound Poisson modelexponential claimsaverage modeldividend policy

Mathematics Subject Classification ID

Related Items (4)

Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections ⋮ AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ Dividend optimization for regime-switching general diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Hybrid switching diffusions. Properties and applications
• Controlled diffusion models for optimal dividend pay-out
• Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Stock Trading: An Optimal Selling Rule
• Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
• Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes
• Stability of hybrid dynamic systems containing singularly perturbed random processes
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Optimal Dividends
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• On limit results for a class of singularly perturbed switching diffusions

This page was built for publication: Asymptotically optimal dividend policy for regime-switching compound Poisson models