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Article: Optimal financing and dividend distribution in a general diffusion model with regime switching
Title | Optimal financing and dividend distribution in a general diffusion model with regime switching |
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Authors | |
Keywords | Dividend General diffusion Optimal financing Optimization Regimeswitching |
Issue Date | 2016 |
Publisher | Applied 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? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/231316 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.640 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhu, JX | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2016-09-20T05:22:16Z | - |
dc.date.available | 2016-09-20T05:22:16Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Advances in Applied Probability, 2016, v. 48 n. 2, p. 406-422 | - |
dc.identifier.issn | 0001-8678 | - |
dc.identifier.uri | http://hdl.handle.net/10722/231316 | - |
dc.description.abstract | We 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.language | eng | - |
dc.publisher | Applied Probability Trust. The Journal's web site is located at https://www.cambridge.org/core/journals/advances-in-applied-probability/all-issues | - |
dc.relation.ispartof | Advances in Applied Probability | - |
dc.rights | Advances in Applied Probability. Copyright © Applied Probability Trust. | - |
dc.subject | Dividend | - |
dc.subject | General diffusion | - |
dc.subject | Optimal financing | - |
dc.subject | Optimization | - |
dc.subject | Regimeswitching | - |
dc.title | Optimal financing and dividend distribution in a general diffusion model with regime switching | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1017/apr.2016.7 | - |
dc.identifier.scopus | eid_2-s2.0-84976384411 | - |
dc.identifier.hkuros | 263478 | - |
dc.identifier.volume | 48 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 406 | - |
dc.identifier.epage | 422 | - |
dc.identifier.isi | WOS:000384819800006 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0001-8678 | - |