This paper considers a dividend strategy with investment in
Omega model. If at a potential dividend-payment time the surplus is above , part
of the excess are paid as dividends directly, the other part are used as dynamic
investment capital, at a particular time, the sum of profits and investment capital
will be paid as another dividend. Under this dividend policy, we get the optimal
dividend strategy and the optimal portfolio policy.
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WU Jie, CHEN Chuanzhong. The Research on Dividend Strategy with Investment in the Omega Model. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2016, 32(5): 530-540.