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optimal dividend strategy in Compound Binomial Model with Bounded dividend Rates

Acta Mathematicae Applicatae Sinica 2014年第4期30卷 859-870页

作者： Ji-yang TAN Xiang-qun YANG School of Mathematics and Computational Science Xiangtan University College of Mathematics and Computer Science Hunan Normal University

We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a *** company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruin. We show that the optimal value function is the unique solution of a discrete HJB equation. Moreover, we obtain some properties of the optimal payment strategy, and offer a simple algorithm for obtaining the optimal strategy. The key of our method is to transform the value function. Numerical examples are presented to illustrate the transformation method.

关键词： compound binomial model optimal dividend strategy transformation

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optimal dividend-Equity Issuance strategy in a Dual Model with Fixed and Proportional Transaction Costs

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Acta Mathematicae Applicatae Sinica 2015年第2期31卷 405-426页

作者： Shu-min CHEN Zhong-fei LI School of Management Guangdong University of Technology Sun Yat-sen Business School Research Center for Financial Engineering and Risk Management Sun Yat-sen University

In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company＇s capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems： one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity *** first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company＇s reserve above zero by issuing new equity, depending on the model＇s parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.

关键词： dual risk model fixed transaction cost optimal dividend strategy optimal equity issuance strategy mixed impulse-singular control

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维普期刊数据库

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On optimality of the Barrier strategy for the Classical Risk Model with Interest

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Acta Mathematicae Applicatae Sinica 2011年第1期27卷 75-84页

作者： Ying Fang Rong Wu Department of Mathematics Shandong Normal University Jinan 250014 China Department of Mathematics and LPMC Nankai University Tianjin 300071 China

In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For such a risk model, a sufficient condition under which a barrier strategy is the optimal strategy is presented for general claim distributions. When claim sizes are exponentially distributed, it is shown that the optimal dividend policy is a barrier strategy and the maximal dividend-value function is a concave function. Finally, some known results relating to the distribution of aggregate dividends before ruin are extended.

关键词： optimal dividend strategy barrier strategy confluent hypergeometric function interest

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维普期刊数据库

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