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Article: Optimal financing and dividend distribution in a general diffusion model with regime switching

TitleOptimal financing and dividend distribution in a general diffusion model with regime switching
Authors
Issue Date2016
PublisherApplied Probability Trust. The Journal's web site is located at https://www.cambridge.org/core/journals/advances-in-applied-probability/all-issues
Citation
Advances in Applied Probability, 2016, v. 48 n. 2, p. 406-422 How to Cite?
AbstractWe study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model, where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injection and dividend payments incur expenses. The objective is to maximize the expectation of the total discounted dividends minus the total cost of the capital injection. We prove that it is optimal to inject capital only when the surplus tends to fall below 0 and to pay out dividends at the maximal rate when the surplus is at or above the threshold, dependent on the environment regime.
Persistent Identifierhttp://hdl.handle.net/10722/231316
ISSN
2015 Impact Factor: 0.654
2015 SCImago Journal Rankings: 1.009

 

DC FieldValueLanguage
dc.contributor.authorZhu, JX-
dc.contributor.authorYang, H-
dc.date.accessioned2016-09-20T05:22:16Z-
dc.date.available2016-09-20T05:22:16Z-
dc.date.issued2016-
dc.identifier.citationAdvances in Applied Probability, 2016, v. 48 n. 2, p. 406-422-
dc.identifier.issn0001-8678-
dc.identifier.urihttp://hdl.handle.net/10722/231316-
dc.description.abstractWe study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model, where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injection and dividend payments incur expenses. The objective is to maximize the expectation of the total discounted dividends minus the total cost of the capital injection. We prove that it is optimal to inject capital only when the surplus tends to fall below 0 and to pay out dividends at the maximal rate when the surplus is at or above the threshold, dependent on the environment regime.-
dc.languageeng-
dc.publisherApplied Probability Trust. The Journal's web site is located at https://www.cambridge.org/core/journals/advances-in-applied-probability/all-issues-
dc.relation.ispartofAdvances in Applied Probability-
dc.rightsAdvances in Applied Probability. Copyright © Applied Probability Trust.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleOptimal financing and dividend distribution in a general diffusion model with regime switching-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1017/apr.2016.7-
dc.identifier.hkuros263478-
dc.identifier.volume48-
dc.identifier.issue2-
dc.identifier.spage406-
dc.identifier.epage422-
dc.publisher.placeUnited Kingdom-

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