Refraction-reflection strategies in the dual model
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170006701 | ||
| 003 | MAP | ||
| 005 | 20170301142509.0 | ||
| 008 | 170301e20170102usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20080174163$aPérez, José Luis | |
| 245 | 1 | 0 | $aRefraction-reflection strategies in the dual model$cJosé Luis Pérez, Kazutoshi Yamazaki |
| 520 | $aThis 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 refractedreflected process recently studied by Pérez and Yamazaki (2015). We study various fluctuation identities of this process and prove the optimality of the refractionreflection strategy. Numerical results on the optimal dividend problem are also given. | ||
| 700 | 1 | $0MAPA20170002673$aYamazaki, Kazutoshi | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 199-238 |