Centro de Documentacion de Fundación MAPFRE - Refraction-reflection strategies in the dual model

MAP20170006701

Refraction-reflection strategies in the dual model / José Luis Pérez, Kazutoshi Yamazaki

Sumario: This 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 199-238

I. Yamazaki, Kazutoshi . II. Título.