Journal article

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

Abstract

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 ..

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University of Melbourne Researchers

Grants

Awarded by National Natural Science Foundation of China


Awarded by China Postdoctoral Science Foundation


Awarded by Natural Science Foundation of Shandong Province in China


Funding Acknowledgements

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).