On the dividends of the risk model with Markovian barrier

Qingbin Meng and Junna Bi

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 5, 1272-1280

Abstract: In this article, we study the optimal dividend problem for insurance company. The asset of the company is driven by a diffusion process and the dividend barrier follows a Markov process. Using the stochastic optimal control theory, the explicit expressions for the discounted expectation of the aggregate dividends is derived. Finally, numerical example is given to illustrate our results.

Date: 2020
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DOI: 10.1080/03610926.2018.1563175

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