Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments

DOI10.1016/J.INSMATHECO.2020.02.008zbMATH Open1445.91055OpenAlexW3007753223MaRDI QIDQ784387FDOQ784387

Ran Xu, Jae-Kyung Woo

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.02.008

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zbMATH Keywords

viscosity solutionband strategydividend and capital injectionpenalty payment at ruinquasi-variational HJB equation

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

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• Title not available (Why is that?)
• Title not available (Why is that?)
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Cited In (7)

• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Optimal dividends and capital injection under dividend restrictions
• Stochastic optimal control on impulse dividend model with stochastic returns
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences
• Risk modelling on liquidations with Lévy processes

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