De Finetti's Control for Refracted Skew Brownian Motion

2024/02/18 by Zhongqin Gao, Yan Lv, Gao, Zhongqin +3
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · #60G40 #60J80 #93E20 #Advanced Queuing Theory Analysis #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2402.11471

openalex publication_date 2024/02/18 · openalex created_date 2024/02/22 · openalex updated_date 2026/07/28

Abstract

In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively, for barrier strategy, band strategy and their variants to be optimal.

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