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Article: Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

TitleOptimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Authors
Issue Date2017
PublisherElsevier 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/245294
ISSN
2017 Impact Factor: 1.265
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorZhao, Y-
dc.contributor.authorChen, P-
dc.contributor.authorYang, H-
dc.date.accessioned2017-09-18T02:08:05Z-
dc.date.available2017-09-18T02:08:05Z-
dc.date.issued2017-
dc.identifier.citationInsurance: Mathematics and Economics, 2017, v. 74, p. 135-146-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/245294-
dc.description.abstractIn 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.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.titleOptimal periodic dividend and capital injection problem for spectrally positive Lévy processes-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.insmatheco.2017.03.006-
dc.identifier.hkuros278174-
dc.identifier.volume74-
dc.identifier.spage135-
dc.identifier.epage146-
dc.identifier.isiWOS:000402214500012-
dc.publisher.placeNetherlands-

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