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Optimal Dividend Problem for the Compound Binomial Model with Capital Injections

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Information Computing and Applications (ICICA 2010)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 105))

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Abstract

In this paper we discuss the optimal dividend problem for the compound binomial risk model with capital injections. The objective is to maximize the difference between the expected accumulative discounted dividend payment and the expected accumulative discounted capital injections. We derive the Bellman equation for the problem and show that the optimal strategy is a band strategy. At last, by virtue of Bellman equation, the characterization of the optimal strategies and their computing method are presented.

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Author information

Authors and Affiliations

  1. Institute of Science, Hebei Polytechnic University, Tangshan, 063009, China

    Yali He

  2. School of Computer Science and Software, Hebei University of Technology, Tianjin, 300401, China

    Xiuping Zhao

Authors
  1. Yali He
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  2. Xiuping Zhao
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Editor information

Editors and Affiliations

  1. College of Computer Science, South-Central University for Nationalities, 708 Minyuan Road, 430074, Wuhan, China

    Rongbo Zhu

  2. Victoria University, 8001, Melbourne, VIC, Australia

    Yanchun Zhang

  3. College of sciences, He’Bei polytechnic University, 063000, Tangshan, Hebei, China

    Baoxiang Liu  & Chunfeng Liu  & 

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He, Y., Zhao, X. (2010). Optimal Dividend Problem for the Compound Binomial Model with Capital Injections. In: Zhu, R., Zhang, Y., Liu, B., Liu, C. (eds) Information Computing and Applications. ICICA 2010. Communications in Computer and Information Science, vol 105. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16336-4_66

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  • DOI: https://doi.org/10.1007/978-3-642-16336-4_66

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-16335-7

  • Online ISBN: 978-3-642-16336-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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