Dividend optimization in a regime-switching general diffusion model with capital injections*

Release:2015-11-09 Viewed:29

AbstractWe study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injections and dividend payments incur expenses.  The objective is to maximize the expectation of the total discounted dividends minus the total cost of capital injections. We prove that it is optimal to inject capitals only when the surplus tends to fall below zero and to pay out dividends at the maximal rate when the surplus is at or above the threshold dependent on the environment regime.


点击查看原图


SpeakerJinxia Zhu

School of Risk and Actuarial Studies, UNSW Australia Business School

The University of New South Wales, Australia

Dr. Jinxia Zhu is a senior lecturer and the Postgraduate Coursework Coordinator in the School of Risk and Actuarial Studies, UNSW Business School at the University of New South Wales, Australia. She holds a PhD degree in Actuarial Science from the University of Hong Kong, and MSc and BA in Mathematics from Lanzhou University. Her main research interests lie in the areas of optimal control in insurance and finance, and risk theory. She has published in leading international journals in the fields of Actuarial Science and Applied Probability including ASTIN Bulletin, Insurance: Mathematics and Economics, Journal of Applied Probability, Scandinavian Actuarial Journal, and Stochastic Processes and their applications. She is a reviewer for many of the top international journals in Actuarial Science and Applied Probability. She has taught a variety of courses in general and life insurance, statistics and stochastic processes at both undergraduate and postgraduate levels. She is interested in taking PhD students in the areas of Risk Theory or Stochastic Control.

TimeOctober 9, 2015 14:30

InviterJunyi Guo

PlaceLecture room 4