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Optimal Dividend and Capital Injection Strategies for a Risk Model under Force of Interest
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-16
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
As a generalization of the classical Cramér-Lundberg risk model, we consider a risk model including a constant force of interest in the present paper.
Most optimal dividend strategies which only consider the processes modeling the surplus of a risk business are absorbed at 0.
However, in many cases, negative surplus does not necessarily mean that the business has to stop.
Therefore, we assume that negative surplus is not allowed and the beneficiary of the dividends is required to inject capital into the insurance company to ensure that its risk process stays nonnegative.
For this risk model, we show that the optimal dividend strategy which maximizes the discounted dividend payments minus the penalized discounted capital injections is a threshold strategy for the case of the dividend payout rate which is bounded by some positive constant and the optimal injection strategy is to inject capitals immediately to make the company's assets back to zero when the surplus of the company becomes negative.
American Psychological Association (APA)
Fang, Ying& Qu, Zhongfeng. 2013. Optimal Dividend and Capital Injection Strategies for a Risk Model under Force of Interest. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-1010614
Modern Language Association (MLA)
Fang, Ying& Qu, Zhongfeng. Optimal Dividend and Capital Injection Strategies for a Risk Model under Force of Interest. Mathematical Problems in Engineering No. 2013 (2013), pp.1-8.
https://search.emarefa.net/detail/BIM-1010614
American Medical Association (AMA)
Fang, Ying& Qu, Zhongfeng. Optimal Dividend and Capital Injection Strategies for a Risk Model under Force of Interest. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-1010614
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1010614