What does this research mean for the field?

Refracted skew Brownian motion serves as an effective risk model with endogenous regime switching for optimizing dividend strategies in risk management. Novelty: ClaimNovelty.NOVEL_FINDING. Consensus alignment: ConsensusAlignment.NEUTRAL.

What question did this study set out to answer?

To develop a refracted skew brownian motion model for risk management with an optimal dividend problem.

March 5, 2026

De Finetti’s control for refracted skew Brownian motion

Key Points

To develop a refracted skew brownian motion model for risk management with an optimal dividend problem.
Introduced refracted skew brownian motion as a risk model.
Examined barrier and band strategies for optimal dividend payout.
Identified sufficient conditions for strategy optimization.
Optimal strategies were determined for barrier and band approaches.
Sufficient conditions for optimality were established, enhancing risk management.

Abstract

Abstract In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively, for barrier strategy, band strategy, and their variants to be optimal.

De Finetti’s control for refracted skew Brownian motion

Key Points

Abstract

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