Optimal dividend control for a generalized risk model with investment\n incomes and debit interest

2011/02/21 by Jinxia Zhu, Zhu, Jinxia
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #49L25 #91B30 #93E20 #FOS: Economics and business #FOS: Electrical engineering #FOS: Mathematics #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability and Risk Models #Risk Management (q-fin.RM) #Systems and Control (eess.SY) #electronic engineering #information engineering

paper · pdf · doi:10.48550/arxiv.1102.4132

openalex publication_date 2011/02/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper investigates dividend optimization of an insurance corporation\nunder a more realistic model which takes into consideration refinancing or\ncapital injections. The model follows the compound Poisson framework with\ncredit interest for positive reserve, and debit interest for negative reserve.\nRuin occurs when the reserve drops below the critical value. The company\ncontrols the dividend pay-out dynamically with the objective to maximize the\nexpected total discounted dividends until ruin. We show that that the optimal\nstrategy is a band strategy and it is optimal to pay no dividends when the\nreserve is negative.\n

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