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01490nam a2200205Ia 4500 |
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10.3934-jimo.2018055 |
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220511s2019 CNT 000 0 und d |
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|a 15475816 (ISSN)
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| 245 |
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|a Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
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| 260 |
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|b American Institute of Mathematical Sciences
|c 2019
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.3934/jimo.2018055
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|a 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 the firm is assumed to be an expected discounted total [dividends less discounted capital injection]. Under such a setup, we derive certain key identities in connection with value function of the firm of a maximum dividend rate. Under restricted dividend rates and capital injection, we give analytical description of the maximum value function of the firm and the optimal threshold strategy explicitly. © 2019 American Institute of Mathematical Sciences.
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|a Capital injection
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|a Scale function
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|a Spectrally negative Lévy process
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|a Threshold strategy
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|a Uctuation theory
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|a Li, M.
|e author
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|a Yin, G.
|e author
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| 773 |
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|t Journal of Industrial and Management Optimization
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