Optimal periodic dividend and capital injection problem for spectrally positive Levy processes
Yongxia Zhao, Ping Chen, Hailiang Yang
INSURANCE MATHEMATICS & ECONOMICS | ELSEVIER SCIENCE BV | Published : 2017
In this paper, we investigate an optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. We assume that the periodic dividend strategy has exponential inter-dividend-decision times and continuous monitoring of solvency. Both proportional and fixed transaction costs from capital injection are considered. The objective is to maximize the total value of the expected discounted dividends and the penalized discounted capital injections until the time of ruin. By the fluctuation theory of Lévy processes in Albrecher et al. (2016), the optimal periodic dividend and capital injection strategies are derived. We also find that the optimal return function can be ..View full abstract
Awarded by National Natural Science Foundation of China
Awarded by China Postdoctoral Science Foundation
Awarded by Natural Science Foundation of Shandong Province in China
The authors acknowledge financial support of National Natural Science Foundation of China (11501321, 11571198, 71671082, 11501319), China Postdoctoral Science Foundation (2016M592157) and Natural Science Foundation of Shandong Province in China (ZR2014AM021).