Optimal dividend control for a generalized risk model with investment incomes and debit interest
AbstractThis paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when the reserve drops below the critical value. The company controls the dividend pay-out dynamically with the objective to maximize the expected total discounted dividends until ruin. We show that that the optimal strategy is a band strategy and it is optimal to pay no dividends when the reserve is negative.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1102.4132.
Date of creation: Feb 2011
Date of revision: Sep 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
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