CORMSIS Seminar - Optimal Dividend Strategies of Two Collaborating Business with Transaction Costs, by Harry Zheng (Imperial College London) Seminar

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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)