Equity Cost Induced Dichotomy for Optimal Dividends with Capital Injections in the Cramér-Lundberg Model

Equity Cost Induced Dichotomy for Optimal Dividends with Capital Injections in the Cramér-Lundberg Model

We investigate a control problem leading to the optimal payment of dividends in a Cramér-Lundberg-type insurance model in which capital injections incur proportional cost, and may be used or not, the latter resulting in bankruptcy. For general claims, we provide verification results, using the absol...

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Bibliographic Details
Main Authors: Florin Avram, Dan Goreac, Juan Li, Xiaochi Wu
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Mathematics
Subjects:
optimal dividends
capital injections
Cramér-Lundberg model
buffered reflection
scale functions
absolutely continuous supersolutions
Online Access:https://www.mdpi.com/2227-7390/9/9/931

Internet

https://www.mdpi.com/2227-7390/9/9/931

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