Optimal dividend control for a generalized risk model with investment incomes and debit interest

Jinxia Zhu

Scandinavian Actuarial Journal, 2013, vol. 2013, issue 2, 140-162

Abstract: This 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 the optimal strategy, is a band strategy and it is optimal to pay no dividends when the reserve is negative.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2011.585771 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2013:y:2013:i:2:p:140-162

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.2011.585771

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().