Publication date: September 2016
Source:Insurance: Mathematics and Economics, Volume 70
Author(s): Jinxia Zhu, Hailiang Yang
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.
Source:Insurance: Mathematics and Economics, Volume 70
Author(s): Jinxia Zhu, Hailiang Yang