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De Finetti's Control for Refracted Skew Brownian Motion

Published 18 Feb 2024 in math.PR and math.OC | (2402.11471v3)

Abstract: In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively, for barrier strategy, band strategy and their variants to be optimal.

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Authors (3)

  1. Zhongqin Gao 
  2. Yan Lv 
  3. Xiaowen Zhou 

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