2014/06/30 by Xiaoxiao Zheng, Xin Zhang, Zheng, Xiaoxiao +1
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Advanced Queuing Theory Analysis #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Probability and Risk Models #q-fin.MF
paper · pdf · doi:10.48550/arxiv.1406.7606
arxiv created 2014/06/30 · openalex publication_date 2014/06/30 · arxiv updated 2014/07/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid dividend strategy, that is, the company is allowed to conduct continuous dividend strategy as well as impulsive dividend strategy. In addition, we consider the change of economy, which is characterized by a markovian regime-switching, and under the setting of two regimes, we solve the problem and obtain the analytical solution for the value function.