Optimal Dividend Strategies of Two Collaborating Businesses with Transaction Costs Event

19 October 2017
Building 54, Room 10C

Event details

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 a 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)

Speaker information

Harry Zheng,Imperial College London,is a professor of mathematics and deputy head of department at Imperial. Before moving to IC, he worked as a lecturer at Universities of Edinburgh and Southampton. He had his PhD at University of British Columbia and BSc and MSc at Fudan University. Harry's research is mainly in control and optimization, applied probability, and mathematical finance.