YE Chuanxiu, ZHAO Yongxia. Optimal Dividend Strategy in the Spectrally PostiveL\'evy Risk Model with Regime SwitchingJ. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
Citation:
YE Chuanxiu, ZHAO Yongxia. Optimal Dividend Strategy in the Spectrally PostiveL\'evy Risk Model with Regime SwitchingJ. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
YE Chuanxiu, ZHAO Yongxia. Optimal Dividend Strategy in the Spectrally PostiveL\'evy Risk Model with Regime SwitchingJ. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
Citation:
YE Chuanxiu, ZHAO Yongxia. Optimal Dividend Strategy in the Spectrally PostiveL\'evy Risk Model with Regime SwitchingJ. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
Optimal Dividend Strategy in the Spectrally PostiveL\'evy Risk Model with Regime Switching
In this paper, we consider the optimal dividend problem in the spectrally positive L\'evy model with regime switching. By an auxiliary optimal problem, the principle of dynamic programming and the fluctuation theory of L\'evy processes, we show that optimal strategy is a modulated barrier strategy. The value function and the optimal dividend barrier are obtained by iteration.