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Article: Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Title | Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes |
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Authors | |
Keywords | Capital injection Lévy process Periodic dividend Scale function Stochastic control |
Issue Date | 2017 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2017, v. 74, p. 135-146 How to Cite? |
Abstract | In this paper, we investigate an optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. We assume that the periodic dividend strategy has exponential inter-dividend-decision times and continuous monitoring of solvency. Both proportional and fixed transaction costs from capital injection are considered. The objective is to maximize the total value of the expected discounted dividends and the penalized discounted capital injections until the time of ruin. By the fluctuation theory of Lévy processes in Albrecher et al. (2016), the optimal periodic dividend and capital injection strategies are derived. We also find that the optimal return function can be expressed in terms of the scale functions of Lévy processes. Finally, numerical examples are studied to illustrate our results. |
Persistent Identifier | http://hdl.handle.net/10722/245294 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhao, Y | - |
dc.contributor.author | Chen, P | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2017-09-18T02:08:05Z | - |
dc.date.available | 2017-09-18T02:08:05Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2017, v. 74, p. 135-146 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/245294 | - |
dc.description.abstract | In this paper, we investigate an optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. We assume that the periodic dividend strategy has exponential inter-dividend-decision times and continuous monitoring of solvency. Both proportional and fixed transaction costs from capital injection are considered. The objective is to maximize the total value of the expected discounted dividends and the penalized discounted capital injections until the time of ruin. By the fluctuation theory of Lévy processes in Albrecher et al. (2016), the optimal periodic dividend and capital injection strategies are derived. We also find that the optimal return function can be expressed in terms of the scale functions of Lévy processes. Finally, numerical examples are studied to illustrate our results. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Capital injection | - |
dc.subject | Lévy process | - |
dc.subject | Periodic dividend | - |
dc.subject | Scale function | - |
dc.subject | Stochastic control | - |
dc.title | Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2017.03.006 | - |
dc.identifier.scopus | eid_2-s2.0-85017318267 | - |
dc.identifier.hkuros | 278174 | - |
dc.identifier.volume | 74 | - |
dc.identifier.spage | 135 | - |
dc.identifier.epage | 146 | - |
dc.identifier.isi | WOS:000402214500012 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |