Optimal Dividend and Capital Injection Strategies in the Cramér-Lundberg Risk Model
We discuss the optimal dividend and capital injection strategies in the Cramér-Lundberg risk model. The value function V(x) is defined by maximizing the discounted value of the dividend payment minus the penalized discounted capital injection until the time of ruin. It is shown that V(x) can be ch...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2015-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2015/439537 |