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http://hdl.handle.net/10397/93895
Title: | Dividend optimization for jump–diffusion model with solvency constraints | Authors: | Li, Y Li, Z Wang, S Xu, ZQ |
Issue Date: | Mar-2020 | Source: | Operations research letters, Mar. 2020, v. 48, no. 2, p. 170-175 | Abstract: | 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. | Keywords: | Barrier strategy Dividend payment Jump–diffusion Partial integro-differential equation Solvency constraints |
Publisher: | Elsevier | Journal: | Operations research letters | ISSN: | 0167-6377 | EISSN: | 1872-7468 | DOI: | 10.1016/j.orl.2020.01.006 | Rights: | © 2020 Elsevier B.V. All rights reserved. © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Li, Y., Li, Z., Wang, S., & Xu, Z. Q. (2020). Dividend optimization for jump–diffusion model with solvency constraints. Operations Research Letters, 48(2), 170-175 is available at https://doi.org/10.1016/j.orl.2020.01.006 |
Appears in Collections: | Journal/Magazine Article |
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Xu_Dividend_Optimization_Jump–Diffusion.pdf | Pre-Published version | 940.75 kB | Adobe PDF | View/Open |
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