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arXiv · 1709.06348

On the Bail-Out Optimal Dividend Problem

José-Luis Pérez·Kazutoshi Yamazaki·Xiang Yu
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Abstract

This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted-reflected L\'evy process. The optimal strategy as well as the value function are concisely written in terms of the scale function. Numerical results are also provided to confirm the analytical conclusions.

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José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu. 2017-09-19. On the Bail-Out Optimal Dividend Problem. https://arxiv.org/abs/1709.06348

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