Optimal Capital Injections Barrier for the Compound Binomial Risk Model

摘要：

In this paper we discuss the optimal capital injections problem for the compound binomial risk model. The value function is defined by maximizing the discounted value of the dividend payment minus the penalized discounted capital injection until the time of ruin. It is shown that the value function can be characterized by the Bellmans equation. We find the optimal upper capital injection barrier and the optimal lower capital injection barrier.

关键词： compound binomial risk model Bellman equation optimal capital injection barrier

作者: Ya-Li He Jun Zhang Ya-Mian Peng

作者单位: Institute of Science, Hebei United University No.46, Xinhua West Road, Tangshan, China College of computer and automatic control Hebei United University No.46, Xinhua West Road, Tangshan,

会议类型: 国际会议

会议名称: 2011 3rd International Conference on Computer and Automation Engineering(ICCAE 2011)(2011年第三届IEEE计算机与自动化工程国际会议)

会议地点: 重庆

会议语种:英文

页码: 152-155

在线出版日期: 2011-01-21（万方平台首次上网日期，不代表论文的发表时间）