Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs

Applications of Stochastic Optimal Control to Economics and Finance

“…They obtained closed-form solutions for the optimal portfolio strategies when utility function is logarithmic or power-type. Similar results for a Black-Scholes market with regime switching were obtained by Liu (2014), Guo et al (2005) and Sotomayor and Cadenillas (2013). A discrete time set up was also considered by Yin and Zhou (2004).…”

Optimal Portfolio Selection in an Itô–Markov Additive Market

“…They obtained closed-form solutions for the optimal portfolio strategies in the cases of the logarithmic utility and the power utility. Similar results for a Black-Scholes market with regime switching were obtained by Liu [54], Guo et al [38] and Sotomayor and Cadenillas [76]. A discrete time set up was also considered by Yin and Zhou [82].…”

Optimal insurance risk control with multiple reinsurers

“…A combination of an optimal reinsurance problem with multiple reinsurers and an optimal dividend problem is discussed, where dividends with fixed costs and taxes are paid to shareholders of the insurance company. Mathematically, the optimal dividend problem is related to an impulse control problem and has been studied in the literature, see for example, Bai and Guo [3], Cadenillas et al [6], Meng and Siu [14], [15], [16], Meng [17], Meng et al [18], Sotomayor and Cadenillas et al [21] and Meng et al [20]. Under certain conditions, a combined proportional reinsurance treaty is shown to be optimal in the class of plausible reinsurance treaties.…”