Asymptotic analysis for optimal dividends in a dual risk model

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 optima...

Full description

Saved in:
Bibliographic Details
Published in:Stochastic models 2022-10, Vol.38 (4), p.605-637
Main Authors: Fahim, Arash, Zhu, Lingjiong
Format: Article
Language:English
Subjects:
asymptotic analysis
Asymptotic properties
Dual risk model
Mathematical models
Optimal control
Parameters
Risk
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1532-6349
1532-4214
DOI:10.1080/15326349.2022.2080709