Dividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes
研究了保险公司在Lévy风险模型下，如何通过最优的脉冲分红和资本注入策略，最大化扣除注入成本后的期望净分红现值，并给出了数值例子说明参数影响。
Abstract The optimal dividends problem has remained an active research field for decades. For an insurance company with reserve modelled by a spectrally negative Lévy process having finite first-order moment, we study the optimal impulse dividend and capital injection (IDCI) strategy for maximizing the expected accumulated discounted net dividend payment subtracted by the accumulated discounted cost of injecting capital. In this setting, the beneficiary of the dividends injects capital to ensure a non-negative risk process so that the insurer never goes bankrupt. The optimal IDCI strategy together with its value function is obtained. Besides, two numerical examples are provided to illustrate the features of the optimal strategies. The impacts of model parameters are also studied.