An Optimal Dividends Problem with a Terminal Value Under Markov-regime Switching

Student: Zhu Chongrui

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Year of Graduation: 2021

A certain optimal dividend strategy problem under Markov-regime switching has been considered. In this case, we proved that the optimal dividend strategy turns out to be the modulated barrier strategy under the assumption that the surplus process follows a specatrally negative Levy process with finite Levy measure having a completely monotone density. We mainly draw on the analytical property of specattrally negative Levy process to solve this problem. Furthermore, we present some numerical experiment to illustrate our scheme.

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