Optimal dividend strategies in a Cramér-Lundberg model with capital injections

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DOI10.1016/j.insmatheco.2008.05.013zbMath1189.91075OpenAlexW1983448988MaRDI QIDQ974817

Natalie Kulenko, Hanspeter Schmidli

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.013

zbMATH Keywords

Hamilton-Jacobi-Bellman equation stochastic control barrier strategy dividend capital injection

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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