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      Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

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          Abstract

          The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form solutions except in some special cases. In this paper, we study the asymptotics of the optimal dividends problem when the parameters of the model go to either zero or infinity. Our results provide insights to the optimal strategies and the optimal values when the parameters are extreme.

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          Author and article information

          Journal
          2016-01-13
          2016-02-09
          Article
          1601.03435
          fab21374-10c1-41e4-aea6-9964bc79ddd9

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

          History
          Custom metadata
          23 pages
          q-fin.RM q-fin.PM

          Risk management,Portfolio management
          Risk management, Portfolio management

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