Optimal Dividend Strategy in Compound Binomial Model with Bounded Dividend Rates  

作　　者：Ji-yang TAN Xiang-qun YANG 

机构地区：[1]School of Mathematics and Computational Science,Xiangtan University [2]College of Mathematics and Computer Science,Hunan Normal University

出　　处：《Acta Mathematicae Applicatae Sinica》2014年第4期859-870,共12页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.61272294,11171101);Hunan Provincial Natural Science Foundation of China(14JJ2069)

摘　　要：We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant.The company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruin. We show that the optimal value function is the unique solution of a discrete HJB equation. Moreover, we obtain some properties of the optimal payment strategy, and offer a simple algorithm for obtaining the optimal strategy. The key of our method is to transform the value function. Numerical examples are presented to illustrate the transformation method.We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant.The company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruin. We show that the optimal value function is the unique solution of a discrete HJB equation. Moreover, we obtain some properties of the optimal payment strategy, and offer a simple algorithm for obtaining the optimal strategy. The key of our method is to transform the value function. Numerical examples are presented to illustrate the transformation method.

关 键 词：compound binomial model optimal dividend strategy TRANSFORMATION 

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