叶传秀, 赵永霞. 马尔科夫机制转换谱正L\'{e}vy风险模型中的最优分红策略[J]. 应用概率统计, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
引用本文: 叶传秀, 赵永霞. 马尔科夫机制转换谱正L\'{e}vy风险模型中的最优分红策略[J]. 应用概率统计, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
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YE Chuanxiu, ZHAO Yongxia. Optimal Dividend Strategy in the Spectrally PostiveL\'{e}vy Risk Model with Regime Switching[J]. 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\'{e}vy Risk Model with Regime Switching[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 71-85. DOI: 10.3969/j.issn.1001-4268.2020.01.006
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马尔科夫机制转换谱正L\'evy风险模型中的最优分红策略

Optimal Dividend Strategy in the Spectrally PostiveL\'evy Risk Model with Regime Switching

    摘要
  • 摘要: 在马尔科夫机制转换谱正L\'evy风险模型中,研究最优分红问题. 通过构造辅助的最优化问题,利用动态规划准则和L\'evy过程的漂移理论,证明了调节有界分红策略是最优策略, 通过迭代方法得到了值函数和最优分红水平.

     

    Abstract: 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.

     

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