Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
Mathematics of Operations Research
32 Pages Posted: 28 Jan 2016 Last revised: 26 Feb 2017
Date Written: January 9, 2017
In this paper, we consider the optimal dividend payment strategy for an insurance company, having 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 occur.
Keywords: Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.
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