A markov-modulated risk model with transaction costs and threshold dividend strategy. Issue 4 (3rd April 2023)

• Record Type: Journal Article
• Authors: Zou, Feng Zhen; Chen, Xu
• Is Part Of: Communications in statistics. Volume 52:Issue 4(2023)
• Page Start: 1577
• Page End: 1590
• Publication Date: 2023-04-03
• Subjects: Transaction costs -- Discounted dividend payments -- Delay integro-differential equations -- Sinc numerical methods; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2021.1887231
• Languages: English
• ISSNs: 0361-0918

Abstract

Abstract: This paper concerns the numerical solution of the expected discounted dividend payments in a Markov-modulated risk model with investment, transaction costs and threshold dividend strategy. A system of delay integro-differential equations with certain boundary conditions is derived. As a closed-form solution does not exist, a numerical sinc method is proposed. Furthermore, an example is considered to illustrate the effect of the transaction costs, investment strategy and market environment.