Optimal dividend strategies of two collaborating businesses in the diffusion approximation model

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

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.

OriginalsprogEngelsk
TidsskriftMathematics of Operations Research
Vol/bind43
Udgave nummer2
Sider (fra-til)377-398
Antal sider22
ISSN0364-765X
DOI
StatusUdgivet - 1 maj 2018

ID: 201867124