Optimal dividend strategies in a Cramér-Lundberg model with capital injections
We consider a classical risk model with dividend payments and capital injections. Thereby, the surplus has to stay positive. Like in the classical de Finetti problem, we want to maximise the discounted dividend payments minus the penalised discounted capital injections. We derive the Hamilton-Jacobi-Bellman equation for the problem and show that the optimal strategy is a barrier strategy. We explicitly characterise when the optimal barrier is at 0 and find the solution for exponentially distributed claim sizes.
Year of publication: |
2008
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Authors: | Kulenko, Natalie ; Schmidli, Hanspeter |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 2, p. 270-278
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Publisher: |
Elsevier |
Keywords: | IM50 IM13 Stochastic control Hamilton-Jacobi-Bellman equation Dividend Capital injection Barrier strategy |
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