Optimal dividend strategies of two collaborating businesses in the diffusion approximation model

TY - JOUR

T1 - Optimal dividend strategies of two collaborating businesses in the diffusion approximation model

AU - Gu, Jia Wen

AU - Steffensen, Mogens

AU - Zheng, Harry

PY - 2018/5/1

Y1 - 2018/5/1

N2 - In this paper, we consider the optimal dividend payment strategy for an insurance company that has two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from one line to another with or without proportional transaction costs, while money must be transferred from one line to another to help both business lines keep running before simultaneous ruin of the two lines eventually occurs.

AB - In this paper, we consider the optimal dividend payment strategy for an insurance company that has two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from one line to another with or without proportional transaction costs, while money must be transferred from one line to another to help both business lines keep running before simultaneous ruin of the two lines eventually occurs.

KW - Collaborating businesses

KW - Diffusion model

KW - Optimal dividends strategy

KW - Stochastic control

UR - http://www.scopus.com/inward/record.url?scp=85047069887&partnerID=8YFLogxK

U2 - 10.1287/moor.2017.0860

DO - 10.1287/moor.2017.0860

M3 - Journal article

AN - SCOPUS:85047069887

SN - 0364-765X

VL - 43

SP - 377

EP - 398

JO - Mathematics of Operations Research

JF - Mathematics of Operations Research

IS - 2

ER -