On the Bail-Out Optimal Dividend Problem

Jos\'e-Luis P\'erez, Kazutoshi Yamazaki and 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.

Date: 2017-09, Revised 2018-06
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Citations: View citations in EconPapers (8)

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