Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 210-224
The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when...