Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077444 | Insurance: Mathematics and Economics | 2008 | 9 Pages |
Abstract
We consider a classical risk model with dividend payments and capital injections. Thereby, the surplus has to stay positive. Like in the classical de Finetti problem, we want to maximise the discounted dividend payments minus the penalised discounted capital injections. We derive the Hamilton-Jacobi-Bellman equation for the problem and show that the optimal strategy is a barrier strategy. We explicitly characterise when the optimal barrier is at 0 and find the solution for exponentially distributed claim sizes.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Natalie Kulenko, Hanspeter Schmidli,