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Article: Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
Title | Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy |
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Authors | |
Keywords | Capital injection Control Diffusion Dividend Optimal financing |
Issue Date | 2016 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2016, v. 70, p. 259-271 How to Cite? |
Abstract | We consider the optimal capital injection and dividend control problem for a class of growth restricted diffusions with the possibility of bankruptcy. The surplus process of a company is modeled by a diffusion process with return and volatility being functions of the surplus process. The company can control the dividend payments and capital injections with the goal of maximizing the expectation of the total discounted dividends minus the total cost of capital injections up to the time of bankruptcy. We distinguish three cases and provide optimality results for each case. |
Persistent Identifier | http://hdl.handle.net/10722/235774 |
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 | Zhu, J | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2016-10-20T01:54:35Z | - |
dc.date.available | 2016-10-20T01:54:35Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2016, v. 70, p. 259-271 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/235774 | - |
dc.description.abstract | We consider the optimal capital injection and dividend control problem for a class of growth restricted diffusions with the possibility of bankruptcy. The surplus process of a company is modeled by a diffusion process with return and volatility being functions of the surplus process. The company can control the dividend payments and capital injections with the goal of maximizing the expectation of the total discounted dividends minus the total cost of capital injections up to the time of bankruptcy. We distinguish three cases and provide optimality results for each case. | - |
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 | Control | - |
dc.subject | Diffusion | - |
dc.subject | Dividend | - |
dc.subject | Optimal financing | - |
dc.title | Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy | - |
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.2016.05.011 | - |
dc.identifier.scopus | eid_2-s2.0-84978755710 | - |
dc.identifier.hkuros | 278217 | - |
dc.identifier.volume | 70 | - |
dc.identifier.spage | 259 | - |
dc.identifier.epage | 271 | - |
dc.identifier.isi | WOS:000383828200024 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |