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

Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki, Kaixin Yan and Xiaowen Zhou

Papers from arXiv.org

Abstract: In this paper, we examine a modified version of de Finetti's optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-valued drift and two-valued volatility coefficients. This modification aims to capture the transitions or adjustments in the company's financial status. We identify the optimal dividend strategy, which maximizes the expected total net dividend payments (after accounting for transaction costs) until ruin, as a two-barrier impulsive dividend strategy. Notably, the optimal strategy can be explicitly determined for almost all scenarios involving different drifts and volatility coefficients. Our primary focus is on exploring how changes in drift and volatility coefficients influence the optimal dividend strategy.

Date: 2025-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2502.05839

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