Asymptotic analysis for optimal dividends in a dual risk model

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2022-06-07 DOI:10.1080/15326349.2022.2080709

Arash Fahim, Lingjiong Zhu

引用次数: 0

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.

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双风险模型中最优股利的渐近分析

摘要双重风险模型是金融保险业中比较流行的一种模型，常用于对风险投资公司或高科技公司的财富过程进行建模。文献对双重风险模型的最优股利问题进行了广泛的研究。众所周知，这个最优控制问题的值函数除了在一些特殊情况下不能产生封闭形式的解。本文研究了模型参数趋近于零或无穷大时最优分红问题的渐近性。我们的结果为参数极值时的最优策略和最优值提供了见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.