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A two-dimensional dividend problem for collaborating companies and an optimal stopping problem

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  • Peter Grandits

Abstract

We consider two insurance companies with wealth processes described by two independent Brownian motions with drift. The goal of the companies is to maximize their expected aggregated discounted dividend payments until ruin. The companies are allowed to help each other by means of transfer payments. But in contrast to Gu et al. [(2018). Optimal dividend strategies of two collaborating businesses in the diffusion approximation model. Mathematics of Operations Research 43(2), 377–398], they are not obliged to do so, if one company faces ruin. We show that the problem is equivalent to a mixture of a one-dimensional singular control problem and an optimal stopping problem. The value function is explicitly constructed and a verification result is proved. Moreover, the optimal strategy is provided as well.

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  • Peter Grandits, 2019. "A two-dimensional dividend problem for collaborating companies and an optimal stopping problem," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(1), pages 80-96, January.
    • Handle: RePEc:taf:sactxx:v:2019:y:2019:i:1:p:80-96
    DOI: 10.1080/03461238.2018.1498387
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    Cited by:

    1. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividend strategies for a catastrophe insurer," Papers 2311.05781, arXiv.org.

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