Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Arash Fahim and Lingjiong Zhu

Papers from arXiv.org

Abstract: The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form solutions except in some special cases. In this paper, we study the asymptotics of the optimal dividend problem when the parameters of the model go to either zero or infinity. Our results provide insights to the optimal strategies and the optimal values when the parameters are extreme.

Date: 2016-01, Revised 2022-12
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Citations: View citations in EconPapers (3)

Published in Stochastic Models 2022, Volume 38, Issue 4, 605-637

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