DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES

DOI10.1017/asb.2014.2zbMath1291.91137OpenAlexW3121202487MaRDI QIDQ5419647

Jinxia Zhu

Publication date: 11 June 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2014.2

zbMATH Keywords

regime-switchingdividendsthreshold strategyrestricted dividend rates

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (4)

OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES ⋮ Optimal debt ratio and dividend strategies for an insurer under a regime-switching model ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

Cites Work

• On differentiability of ruin functions under Markov-modulated models
• Optimal dividend distribution under Markov regime switching
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest

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