Singular optimal dividend control for the regime-switching Cramér–Lundberg model with credit and debit interest

作者：

Highlights：

• We study a regime-switching compound Poisson model with credit and debit interest.

• The surplus process is controlled by subtracting the cumulative dividends.

• Our objective is to find an optimal dividend strategy.

• We show that a regime-switching band strategy is optimal.

摘要

•We study a regime-switching compound Poisson model with credit and debit interest.•The surplus process is controlled by subtracting the cumulative dividends.•Our objective is to find an optimal dividend strategy.•We show that a regime-switching band strategy is optimal.

论文关键词：Band strategy,Compound Poisson process,Cramér–Lundberg model,Dividend optimization,Regime switching,Singular control

论文评审过程：Received 31 January 2013, Revised 15 August 2013, Available online 5 September 2013.

论文官网地址：https://doi.org/10.1016/j.cam.2013.08.033