Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

23 Pages Posted: 17 Jan 2016

See all articles by Arash Fahim

Arash Fahim

Florida State University - Department of Mathematics

Lingjiong Zhu

University of Minnesota - Minneapolis

Date Written: January 15, 2016

Abstract

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form formulas except in some special cases. In this paper, we study the asymptotics of the optimal dividends problem when the parameters go to either zero or infinity. Our results provide us insights to the optimal strategies and the optimal values when the parameters are extreme.

Keywords: dual risk model, optimal dividends, asymptotic analysis

Suggested Citation

Fahim, Arash and Zhu, Lingjiong, Asymptotic Analysis for Optimal Dividends in a Dual Risk Model (January 15, 2016). Available at SSRN: https://ssrn.com/abstract=2716356 or http://dx.doi.org/10.2139/ssrn.2716356

Arash Fahim

Florida State University - Department of Mathematics ( email )

Tallahassee, FL 32306
United States

Lingjiong Zhu (Contact Author)

University of Minnesota - Minneapolis ( email )

206 Church Street SE
Minneapolis, MN 55455
United States

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