Acta mathematica scientia,Series A ›› 2011, Vol. 31 ›› Issue (6): 1567-1578.

• Articles • Previous Articles     Next Articles

Optimal Dividend Strategy in |the Perturbed Compound Poisson Risk Model with Investment

 WANG Chun-Wei1,2, YIN Chuan-Cun2   

  1. 1.School of Mathematics and Statistics, Henan University |of Science and Technology, Henan Luoyang |471003;
    2.School of Mathematical Sciences, Qufu Normal University, Shandong Qufu 273165
  • Received:2009-10-13 Revised:2011-09-07 Online:2011-12-25 Published:2011-12-25
  • Supported by:

    国家自然科学基金(11171179)、高等学校博士点专项科研基金(20093705110002)、河南省基础与前沿技术研究项目(092300410178)和河南科技大学博士科研启动基金(09001443)资助

Abstract:

In this paper, we consider the optimal dividend strategy in the perturbed compound Poisson risk model with ivestment interest. Our aim is to find an optimal dividend strategy that maximizes the cumulative expected discounted dividend payments. We characterize the optimal value function as the viscosity solution of the associated Hamilton-Jacobi-Bellman (HJB) equation and prove that there exists an optimal barrier strategy which  is optimal among all admissible dividend strategies  in some special cases.

Key words: Brownian motion, Dividend payments, HJB equation, Investment interest, Optimal dividend strategy

CLC Number: 

  • 60J75
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