Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model | Zendy

Jia-Wen Gu | Zendy; Mogens Steffensen | Zendy; Harry Zheng | Zendy

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Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model

Author(s) -

Jia-Wen Gu,

Mogens Steffensen,

Harry Zheng

Publication year - 2017

Publication title -

mathematics of operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.619

H-Index - 83

eISSN - 1526-5471

pISSN - 0364-765X

DOI - 10.1287/moor.2017.0860

Subject(s) - dividend , line (geometry) , transaction cost , payment , business , database transaction , diffusion , business model , computer science , line of business , microeconomics , operations research , economics , finance , mathematics , electronic business , marketing , physics , geometry , thermodynamics , programming language , business relationship management

In this paper, we consider the optimal dividend payment strategy for an insurance company that has two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from one line to another with or without proportional transaction costs, while money must be transferred from one line to another to help both business lines keep running before simultaneous ruin of the two lines eventually occurs.

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