Dividend optimization for jump-diffusion model with solvency constraints

doi:10.1016/j.orl.2020.01.006

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	Dividend optimization for jump-diffusion model with solvency constraints
	Li, Yongwu 1; Li, Zhongfei 2; Wang, Shouyang 3; Xu, Zuo Quan 4
	2020-03-01
发表期刊	OPERATIONS RESEARCH LETTERS
ISSN	0167-6377
卷号	48 期号:2 页码:170-175
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.
关键词	Dividend payment Jump-diffusion Solvency constraints Barrier strategy Partial integro-differential equation
DOI	10.1016/j.orl.2020.01.006
收录类别	SCI
语种	英语
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
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000527934600013
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51343
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.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, 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.