Dividend maximization in a hidden Markov switching model

DOI10.1515/STRM-2015-0019zbMATH Open1408.91107OpenAlexW3126137325MaRDI QIDQ293597FDOQ293597

Authors Michaela Szölgyenyi 

Publication date 9 June 2016

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.04656

zbMATH Keywords

hidden Markov modelstochastic optimal controlviscosity solutionsdividend maximizationfiltering theory

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Abstract: In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is modeled as a Brownian motion with drift. This drift depends on an underlying Markov chain the current state of which is assumed to be unobservable. The different states of the Markov chain thereby represent different phases of the economy. We apply results from filtering theory to overcome uncertainty and then we give an analytic characterization of the optimal value function. Finally, we present a numerical study covering various scenarios to get a clear picture of how dividends should be paid out.

• Optimal dividend policy with liability constraint under a hidden Markov regime-switching model
• Bayesian dividend optimization and finite time ruin probabilities
• Optimal financing and dividend policy with Markovian switching regimes
• Optimal dividend distribution under Markov regime switching
• Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model

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• A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
• Bayesian adaptive portfolio optimization
• Bayesian dividend optimization and finite time ruin probabilities
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Controlled Markov processes and viscosity solutions
• Controlled diffusion models for optimal dividend pay-out
• Dividend optimization for regime-switching general diffusions
• Fundamentals of stochastic filtering
• Learning about profitability and dynamic cash management
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• Numerical Methods for Stochastic Control Problems in Continuous Time
• On optimal dividend strategies in insurance with an random time horizon
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimal dividend distribution under Markov regime switching
• Optimal dividend payment and regime switching in a compound Poisson risk model
• Optimal dividend-payout in random discrete time
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimal investment
• Optimal reinsurance and investment with unobservable claim size and intensity
• Optimality results for dividend problems in insurance
• Optimization of the flow of dividends
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Portfolio optimization under partial information with expert opinions
• Portfolio optimization with unobservable Markov-modulated drift process
• Risk vs. profit potential:
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic differential equations and applications.
• Stochastic optimization in insurance. A dynamic programming approach
• Strategies for dividend distribution: a review
• User’s guide to viscosity solutions of second order partial differential equations

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• Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
• Optimal financing and dividend policy with Markovian switching regimes
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• Bayesian dividend optimization and finite time ruin probabilities
• Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
• Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
• Pricing and filtering in a two-dimensional dividend switching model
• Optimal dividend policy with liability constraint under a hidden Markov regime-switching model

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