  This paper proposes and studies an optimal dividend problem in which a
two-state regime-switching environment affects the dynamics of the company's
cash surplus and, as a novel feature, also the bankruptcy level. The aim is to
maximize the total expected profits from dividends until bankruptcy. The
company's optimal dividend payout is therefore influenced by four factors
simultaneously: Brownian fluctuations in the cash surplus, as well as regime
changes in drift, volatility and bankruptcy levels. In particular, the average
profitability can assume different signs in the two regimes. We find a rich
structure of the optimal strategy, which, depending on the interaction of the
model's parameters, can be either of barrier-type or of liquidation-barrier
type. Furthermore, we provide explicit expressions of the optimal policies and
value functions. Finally, we complement our theoretical results by a detailed
numerical study, where also a thorough analysis of the sensitivities of the
optimal dividend policy with respect to the problem's parameters is performed.
