Optimal bail-out dividends problem with transaction cost and capital injection constraint
Probability
2018-09-19 v2
Abstract
We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to the aforementioned models, we first solve the bail-out optimal dividend problem under transaction costs and capital injection and show the optimality of reflected (c1; c2)- policies. Next, we introduce the dual Lagrangian problem and show that the complementary slackness conditions are satisfied, characterizing the optimal Lagrange multiplier. Finally, we illustrate our findings with a series of numerical examples.
Keywords
Cite
@article{arxiv.1808.02182,
title = {Optimal bail-out dividends problem with transaction cost and capital injection constraint},
author = {Mauricio Junca and Harold Moreno-Franco and José Luis Pérez},
journal= {arXiv preprint arXiv:1808.02182},
year = {2018}
}