Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities
YUE Yi-meng
Abstract：Considering control of dividends and capital injections of the Markov-modulated risk model with re-stricted densities and transaction costs,with maximizing the discounted dividend payments minus the penalized discounted capital injections as the goal,the optimal dividends and capital injections strategy was discussed.By stochastic control theory and the Hamilton-Jacobi-Bellman equation,it was derived that the corresponding best strategy was Threshold strategy.
Keywords：Markov-modulated risk model stochastic con-trolHJB equationcap-ital injection strategydividend strategy
Publication Date：2016-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：4( 105-108 )