Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257851 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 1 [Article No.:] 13 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital. To solve this problem, we first consider the optimal bail-out dividend problem with transaction cost and capital injection and show the optimality of reflected (c 1 ,c 2 )-policies. We then find the optimal Lagrange multiplier, by showing that in the dual Lagrangian problem the complementary slackness conditions are met. Finally, we present some numerical examples to support our results.
Subjects: 
dividend payment
optimal control
capital injection constraint
spectrally negative Lévy processes
reflected Lévy processes
scale functions
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.