Abstract
AbstractThe optimal dividends problem has remained an active research field for decades. For an insurance company with reserve modelled by a spectrally negative Lévy process having finite first-order moment, we study the optimalimpulse dividend and capital injection(IDCI) strategy for maximizing the expected accumulated discounted net dividend payment subtracted by the accumulated discounted cost of injecting capital. In this setting, the beneficiary of the dividends injects capital to ensure a non-negative risk process so that the insurer never goes bankrupt. The optimal IDCI strategy together with its value function is obtained. Besides, two numerical examples are provided to illustrate the features of the optimal strategies. The impacts of model parameters are also studied.
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
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