位置:成果数据库 > 期刊 > 期刊详情页
Optimal dividend and capital injection problem with a random time horizon and a ruin penalty in the dual model
  • ISSN号:1005-1031
  • 期刊名称:《高校应用数学学报:英文版(B辑)》
  • 时间:0
  • 分类:O[理学]
  • 作者机构:[1]School of Statistics, Qufu Normal University, Qufu 273165, China., [2]School of Finance, Nanjing University of Finance and Economics, Nanjing 210046, China
  • 相关基金:Supported by the National Natural Science Foundation of China (11231005), Promotive research fund for ex- cellent young and middle-aged scientists of Shandong Province (BS2014SF006), the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (15KJB110009).
中文摘要:

In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injection are considered. The objective is to maximize the total value of the expected discounted dividends, and the penalized discounted both capital injections and ruin penalty during the horizon, which is described by the minimum of the time of ruin and an exponential random variable. The explicit solutions for optimal strategy and value function are obtained, when the income jumps follow a hyper-exponential distribution.Besides, some numerical examples are presented to illustrate our results.

同期刊论文项目
同项目期刊论文
期刊信息
  • 《高校应用数学学报:英文版(B辑)》
  • 主管单位:教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编:林正炎 李大潜
  • 地址:杭州玉泉浙江大学数学系
  • 邮编:310027
  • 邮箱:amjcu B@eju.edu.cn
  • 电话:0571-87951602
  • 国际标准刊号:ISSN:1005-1031
  • 国内统一刊号:ISSN:33-1171/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论(网络版),德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引(扩展库)
  • 被引量:26