Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
Department of Mathematics, Universidad de los Andes, Bogotá 11711, Colombia
Department of Mathematics and Statistics, Universidad del Norte, Barranquilla 080003, Colombia
Department of Probability and Statistics, Centro de Investigación en Matemáticas A.C., Guanajuato 36000, Mexico
Author to whom correspondence should be addressed.
Received: 18 December 2018 / Revised: 28 January 2019 / Accepted: 29 January 2019 / Published: 31 January 2019
We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital. To solve this problem, we first consider the optimal bail-out dividend problem with transaction cost and capital injection and show the optimality of reflected
-policies. We then find the optimal Lagrange multiplier, by showing that in the dual Lagrangian problem the complementary slackness conditions are met. Finally, we present some numerical examples to support our results.
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MDPI and ACS Style
Junca, M.; Moreno-Franco, H.A.; Pérez, J.L. Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint. Risks 2019, 7, 13.
Junca M, Moreno-Franco HA, Pérez JL. Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint. Risks. 2019; 7(1):13.
Junca, Mauricio; Moreno-Franco, Harold A.; Pérez, José L. 2019. "Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint." Risks 7, no. 1: 13.
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