Optimal dividend strategies of two collaborating businesses in the diffusion approximation model
File(s)MOR final version.pdf (434.42 KB)
Accepted version
Author(s)
Gu, Jia-Wen
Steffensen, Mogens
Zheng, Harry
Type
Journal Article
Abstract
In this paper, we consider the optimal dividend payment strategy for an insurance company that has two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from one line to another with or without proportional transaction costs, while money must be transferred from one line to another to help both business lines keep running before simultaneous ruin of the two lines eventually occurs.
Date Issued
2018-05-01
Date Acceptance
2017-07-26
Citation
Mathematics of Operations Research, 2018, 43 (2), pp.377-398
ISSN
0364-765X
Publisher
INFORMS
Start Page
377
End Page
398
Journal / Book Title
Mathematics of Operations Research
Volume
43
Issue
2
Copyright Statement
© 2017, INFORMS
Subjects
Science & Technology
Technology
Physical Sciences
Operations Research & Management Science
Mathematics, Applied
Mathematics
optimal dividends strategy
diffusion model
collaborating businesses
stochastic control
0102 Applied Mathematics
0103 Numerical And Computational Mathematics
0802 Computation Theory And Mathematics
Operations Research
Publication Status
Published
Date Publish Online
2017-08-23