Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form formulas except in some special cases. In this paper, we study the asymptotics of the optimal dividends problem when the parameters go to either zero or infinity. Our results provide us insights to the optimal strategies and the optimal values when the parameters are extreme

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Year of publication:	2016
Authors:	Fahim, Arash
Other Persons:	Zhu, Lingjiong (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Dividende \| Dividend \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Risiko \| Risk \| Risikomodell \| Risk model \| Portfolio-Management \| Portfolio selection

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