• DocumentCode
    3466788
  • Title

    On the Dividend for the Markov-Switching Risk Model

  • Author

    Meng, Qingbin ; Li, Zhendong ; Zhang, Peng

  • Author_Institution
    Sch. of Econ., Nankai Univ., Tianjin
  • fYear
    2008
  • fDate
    12-14 Oct. 2008
  • Firstpage
    1
  • Lastpage
    3
  • Abstract
    This paper considers a optimal dividend problem for a company whose asset follows a Markov-modulated risk model. In the two-state Markov-switching setting, explicit formulas for the expected discounted dividends and the expected time of ruin are derived when the dividend strategy follows a constant barrier dividend strategy.
  • Keywords
    Markov processes; financial management; risk analysis; Markov switching; asset management; optimal dividend problem; risk model; Bismuth; Books; Educational institutions; Environmental economics; Frequency; Integrodifferential equations; Markov processes; Risk analysis; State-space methods; Telephony;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
  • Conference_Location
    Dalian
  • Print_ISBN
    978-1-4244-2107-7
  • Electronic_ISBN
    978-1-4244-2108-4
  • Type

    conf

  • DOI
    10.1109/WiCom.2008.2293
  • Filename
    4680482
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3466788