Dividend maximization in a hidden Markov switching model

Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy

In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid dividend strategy, that is, the company is allowed to conduct continuous dividend strategy as well as impulsive dividend strategy. In addition, we consider the change of economy, which is characterized by a markovian regime-switching, and under the setting of two regimes, we solve t…

带固定交易成本的制度切换布朗风险模型中的最优再保险-分红策略：脉冲控制问题的粘性解

Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem

本文研究制度切换布朗风险模型下带固定交易成本的最优再保险-分红策略，通过粘性解刻画值函数，并给出双障碍脉冲分红与反馈再保险的最优策略。

Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate

We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve $α(t)$ can be found to determine the optimal strategy at time $t$. In a second setting we introduce a strategy-independent stopping time. The properties and behavior of these optimal control problems in both settings are analyzed in an analytical HJB-driven approach as well as using backward stochastic differential equations.

德芬尼问题与固定交易成本及制度切换

De Finetti's problem with fixed transaction costs and regime switching

本文研究了考虑固定交易成本和制度切换的德芬尼问题，提出双屏障脉冲分红策略以最大化破产前净分红收益。

On the bail-out dividend problem for spectrally negative Markov additive models

This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the regime-modulated refraction-reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. To verify the conjecture of a barrier type optimal control, we first introduce and study an auxiliary problem with the final payoff at an exponential terminal time and characterize the optimal threshold explicitly using fluctuation identities of the refracted-r…

分红累积与资本注入在Cramér-Lundberg模型下：强解与最优策略

Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy

本文研究保险公司在经典Cramér-Lundberg模型下考虑分红率累积约束和资本注入的最优分红问题，通过构造偏积分变分不等式方程并证明强解存在性，提出无切换自由边界和显式反馈控制策略，为经济中的分红政策设计提供数学理论基础。