Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
This paper focuses on optimal threshold strategies for a spectrally negative Lévy (SNL) risk process with capital injections and proportional transaction costs. Restricted to solvency constraint, our model requires the shareholders of dividends prevent ruin by injecting capitals. Value function of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
American Institute of Mathematical Sciences
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |