Dividend optimization for jump-diffusion model with solvency constraints

被引：3
|
作者：
Li, Yongwu [1 ]
Li, Zhongfei [2 ]
Wang, Shouyang [3 ]
Xu, Zuo Quan [4 ]
机构：
[1] Beijing Univ Technol, Coll Econ & Management, Beijing 100124, Peoples R China
[2] Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Peoples R China
[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
[4] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Peoples R China
来源：
OPERATIONS RESEARCH LETTERS | 2020年 / 48卷 / 02期
基金：
北京市自然科学基金;
关键词：
Dividend payment; Jump-diffusion; Solvency constraints; Barrier strategy; Partial integro-differential equation; STOCHASTIC OPTIMAL-CONTROL; INSURANCE COMPANY; TRANSACTION COSTS; RISK; PAYMENTS; REINSURANCE; STRATEGIES; OPTIMALITY; POLICY;
D O I：
10.1016/j.orl.2020.01.006
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Belhaj (2010) established that a barrier strategy is optimal for the dividend problem under jump-diffusion model. However, if the optimal dividend barrier level is set too low, then the bankruptcy probability may be too high to be acceptable. This paper aims to address this issue by taking the solvency constrain into consideration. Precisely, we consider a dividend payment problem with solvency constraint under a jump-diffusion model. Using stochastic control and PIDE, we derive the optimal dividend strategy of the problem. (C) 2020 Elsevier B.V. All rights reserved.
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页码：170 / 175
页数：6
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