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• W3015538501 abstract "This paper studies the bailout optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the regime-modulated refraction-reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. To verify the conjecture of a barrier-type optimal control, we first introduce and study an auxiliary problem with the final payoff at an exponential terminal time and characterize the optimal threshold explicitly using fluctuation identities of the refracted-reflected Lévy process. Second, we transform the problem with regime switching into an equivalent local optimization problem with a final payoff up to the first regime-switching time. The refraction-reflection strategy with regime-modulated thresholds can be shown as optimal by using results in the first step and some fixed point arguments for auxiliary recursive iterations." @default.
• W3015538501 created "2020-04-17" @default.
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• W3015538501 date "2020-01-01" @default.
• W3015538501 modified "2023-10-14" @default.
• W3015538501 title "On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models" @default.
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• W3015538501 doi "https://doi.org/10.1137/19m1298172" @default.
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