Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
成果类型：
Article
署名作者：
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry
署名单位：
Southern University of Science & Technology; University of Copenhagen; Imperial College London
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2017.0860
发表日期：
2018
页码：
377-398
关键词：
摘要：
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.