Dividend optimization for jump-diffusion model with solvency constraints

doi:10.1016/j.orl.2020.01.006

	Dividend optimization for jump-diffusion model with solvency constraints
	Li, Yongwu 1; Li, Zhongfei 4; Wang, Shouyang 3; Xu, Zuo Quan 2
刊名	OPERATIONS RESEARCH LETTERS
	2020-03-01
卷号	48 期号:2 页码:170-175
关键词	Dividend payment Jump-diffusion Solvency constraints Barrier strategy Partial integro-differential equation
ISSN号	0167-6377
DOI	10.1016/j.orl.2020.01.006
英文摘要	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. (C) 2020 Elsevier B.V. All rights reserved.
资助项目	NSFC, China[71501176] ; NSFC, China[71932002] ; NSFC, China[71721001] ; NSFC, China[71991474] ; NSFC, China[71988101] ; NSFC, China[11971409] ; Beijing Natural Science Foundation, China[9192001] ; Hong Kong GRF, China[15204216] ; Hong Kong GRF, China[15202817]
WOS研究方向	Operations Research & Management Science
语种	英语
出版者	ELSEVIER
WOS记录号	WOS:000527934600013
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/51342]
专题	中国科学院数学与系统科学研究院
通讯作者	Li, Zhongfei
作者单位	1.Beijing Univ Technol, Coll Econ & Management, Beijing 100124, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Peoples R China
推荐引用方式 GB/T 7714	Li, Yongwu,Li, Zhongfei,Wang, Shouyang,et al. Dividend optimization for jump-diffusion model with solvency constraints[J]. OPERATIONS RESEARCH LETTERS,2020,48(2):170-175.
APA	Li, Yongwu,Li, Zhongfei,Wang, Shouyang,&Xu, Zuo Quan.(2020).Dividend optimization for jump-diffusion model with solvency constraints.OPERATIONS RESEARCH LETTERS,48(2),170-175.
MLA	Li, Yongwu,et al."Dividend optimization for jump-diffusion model with solvency constraints".OPERATIONS RESEARCH LETTERS 48.2(2020):170-175.