Optimal Capital Injections Barrier for the Compound Binomial Risk Model
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.
compound binomial risk model Bellman equation optimal capital injection barrier
Ya-Li He Jun Zhang Ya-Mian Peng
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,
国际会议
重庆
英文
152-155
2011-01-21(万方平台首次上网日期,不代表论文的发表时间)