Abstract
We study the optimal financing and dividend distribution problem with restricted dividend
rates in a diffusion type surplus model, where the drift and volatility coefficients are
general functions of the level of surplus and the external environment regime. The
environment regime is modeled by a Markov process. Both capital injection and dividend
payments incur expenses. The objective is to maximize the expectation of the total
discounted dividends minus the total cost of the capital injection. We prove that it is
optimal to inject capital only when the surplus tends to fall below 0 and to pay out
dividends at the maximal rate when the surplus is at or above the threshold, dependent
on the environment regime.
rates in a diffusion type surplus model, where the drift and volatility coefficients are
general functions of the level of surplus and the external environment regime. The
environment regime is modeled by a Markov process. Both capital injection and dividend
payments incur expenses. The objective is to maximize the expectation of the total
discounted dividends minus the total cost of the capital injection. We prove that it is
optimal to inject capital only when the surplus tends to fall below 0 and to pay out
dividends at the maximal rate when the surplus is at or above the threshold, dependent
on the environment regime.
| Original language | English |
|---|---|
| Pages (from-to) | 406-422 |
| Journal | Advances in Applied Probability |
| Volume | 48 |
| Issue number | 2 |
| Publication status | Published - 2016 |
| Externally published | Yes |