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

DOI10.1016/J.INSMATHECO.2020.02.008MaRDI QIDQ784387zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
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Cited in

(8)

• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
• Optimal singular dividend control with capital injection and affine penalty payment at ruin
• Optimal dividends and capital injection under dividend restrictions
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Stochastic optimal control on impulse dividend model with stochastic returns
• 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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