Title :
On the Dividend for the Markov-Switching Risk Model
Author :
Meng, Qingbin ; Li, Zhendong ; Zhang, Peng
Author_Institution :
Sch. of Econ., Nankai Univ., Tianjin
Abstract :
This paper considers a optimal dividend problem for a company whose asset follows a Markov-modulated risk model. In the two-state Markov-switching setting, explicit formulas for the expected discounted dividends and the expected time of ruin are derived when the dividend strategy follows a constant barrier dividend strategy.
Keywords :
Markov processes; financial management; risk analysis; Markov switching; asset management; optimal dividend problem; risk model; Bismuth; Books; Educational institutions; Environmental economics; Frequency; Integrodifferential equations; Markov processes; Risk analysis; State-space methods; Telephony;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2293
