De Finetti's Control for Refracted Skew Brownian Motion
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866910002608865280 |
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| author | Gao, Zhongqin Lv, Yan Zhou, Xiaowen |
| author_facet | Gao, Zhongqin Lv, Yan Zhou, Xiaowen |
| contents | In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively, for barrier strategy, band strategy and their variants to be optimal. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_11471 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | De Finetti's Control for Refracted Skew Brownian Motion Gao, Zhongqin Lv, Yan Zhou, Xiaowen Probability Optimization and Control 60G40, 60J80, 93E20 In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively, for barrier strategy, band strategy and their variants to be optimal. |
| title | De Finetti's Control for Refracted Skew Brownian Motion |
| topic | Probability Optimization and Control 60G40, 60J80, 93E20 |
| url | https://arxiv.org/abs/2402.11471 |