题目：Optimal Dividend Strategies of Two Collaborating Businesses with Transaction Costs

报告人🧑🏼‍🏫：郑惠恒 教授（英国帝国理工）

地点🤿：致远楼102室

时间：2016年12月15日，星期四 下午2：00—3：00

Title:Optimal Dividend Strategies of Two Collaborating Businesses with Transaction Costs

Abstract:

We consider the optimal dividend payment strategy for an insurance company, having two collaborating business lines, where their surplus processes are modelled by diffusion processes and the dividends paid by different business lines are weighted differently. We find the optimal dividend strategy when money is transferred between two business lines without transaction costs. We show the optimal value function is the unique continuous viscosity solution to the corresponding HJB equation when money is transferred with transaction costs. We also prove a verification theorem. Finally, we find the optimal solution to the problem with transaction costs in the symmetric case. (Joint work with Jiawen Gu and Mogens Steffensen)

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