Asymptotically optimal dividend policy for regime-switching compound Poisson models

DOI10.1007/S10255-010-0023-0zbMATH Open1204.91061OpenAlexW2061200011MaRDI QIDQ601938FDOQ601938

Authors: Zhuo Jin, Hailiang Yang, G. 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

Recommendations

• Optimal threshold dividend strategies under the compound Poisson model with regime switching
• Optimal dividend payment and regime switching in a compound Poisson risk model
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Optimal dividend distribution under Markov regime switching

zbMATH Keywords

regime switchingaverage modeldividend policycompound Poisson modelexponential claims

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Stochastic models in economics (91B70)

Cites Work

• Hybrid switching diffusions. Properties and applications
• Controlled diffusion models for optimal dividend pay-out
• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
• Stock trading: an optimal selling rule
• Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes
• Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Title not available (Why is that?)
• Optimal Dividends
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stability of hybrid dynamic systems containing singularly perturbed random processes
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Title not available (Why is that?)
• Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
• On limit results for a class of singularly perturbed switching diffusions

Cited In (9)

• An optimal dividend policy with delayed capital injections
• Asymptotic optimization for stochastic models based on a compound Poisson process
• A refined asymptotic framework for dividend yield in predictive regressions
• Optimal dividend payment and regime switching in a compound Poisson risk model
• Optimal threshold dividend strategies under the compound Poisson model with regime switching
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• Dividend optimization for regime-switching general diffusions
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
• Optimal dividend policy with liability constraint under a hidden Markov regime-switching model

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q601938)