Optimal dividend and capital injection problem with a random time horizon and a ruin penalty in the dual model

2015 ◽  
Vol 30 (3) ◽  
pp. 325-339 ◽  
Author(s):  
Yong-xia Zhao ◽  
Ding-jun Yao
Keyword(s):  
Time Horizon ◽  
Random Time ◽  
Dual Model ◽  
Capital Injection ◽  
Optimal Dividend ◽  
Random Time Horizon

scholarly journals REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL

2016 ◽  
Vol 47 (1) ◽  
pp. 199-238 ◽  
Author(s):  
José-Luis Pérez ◽  
Kazutoshi Yamazaki
Keyword(s):  
Additional Condition ◽  
Numerical Results ◽  
Dual Model ◽  
Maximal Rate ◽  
Absolutely Continuous ◽  
Capital Injection ◽  
Surplus Process ◽  
Optimal Dividend

AbstractWe study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction–reflection strategy that pays dividends at the maximal rate whenever the surplus is above a certain threshold, while capital is injected so that it stays non-negative. The resulting controlled surplus process becomes the spectrally positive version of the refracted–reflected process recently studied by Pérez and Yamazaki (2015). We study various fluctuation identities of this process and prove the optimality of the refraction–reflection strategy. Numerical results on the optimal dividend problem are also given.

Optimum replacement intervals with random time horizon

2000 ◽  
Vol 6 (4) ◽  
pp. 269-274 ◽  
Author(s):  
Won Young Yun ◽  
Chung Hyeon Choi
Keyword(s):  
Time Horizon ◽  
Random Time ◽  
Random Time Horizon

Optimal time-dependent production policy under random time horizon

OPSEARCH ◽  
2019 ◽  
Vol 57 (2) ◽  
pp. 391-413
Author(s):  
J. N. Roul ◽  
K. Maity ◽  
S. Kar ◽  
M. Maiti
Keyword(s):  
Time Horizon ◽  
Time Dependent ◽  
Random Time ◽  
Optimal Time ◽  
Production Policy ◽  
Random Time Horizon

Optimum block replacement policy over a random time horizon

2009 ◽  
Vol 22 (6) ◽  
pp. 885-889 ◽  
Author(s):  
Abdelhakim Khatab ◽  
Nidhal Rezg ◽  
Daoud Ait-Kadi
Keyword(s):  
Time Horizon ◽  
Replacement Policy ◽  
Random Time ◽  
Random Time Horizon

Functional model of a software system with random time horizon

2015 ◽  
Author(s):  
Dmitrii A. Zubok ◽  
Aleksandr V. Maiatin ◽  
Valentina E. Kiryushkina ◽  
Maksim V. Khegai
Keyword(s):  
Time Horizon ◽  
Functional Model ◽  
Random Time ◽  
Software System ◽  
Random Time Horizon
Sign in / Sign up

Export Citation Format

Share Document