Abstract
Belhaj (2010) established that a barrier strategy is optimal for the dividend problem under jump–diffusion model. However, if the optimal dividend barrier level is set too low, then the bankruptcy probability may be too high to be acceptable. This paper aims to address this issue by taking the solvency constrain into consideration. Precisely, we consider a dividend payment problem with solvency constraint under a jump–diffusion model. Using stochastic control and PIDE, we derive the optimal dividend strategy of the problem.
Original language | English |
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Pages (from-to) | 170-175 |
Number of pages | 6 |
Journal | Operations Research Letters |
Volume | 48 |
Issue number | 2 |
DOIs | |
Publication status | Published - Mar 2020 |
Keywords
- Barrier strategy
- Dividend payment
- Jump–diffusion
- Partial integro-differential equation
- Solvency constraints
ASJC Scopus subject areas
- Software
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics