Jinxia Zhu

  1. Optimal dividend control for a generalized risk model with investment incomes and debit interest.

    Authors: Jinxia Zhu
    Subjects: Optimization and Control
    Abstract

    This paper investigates dividend optimization of an insurance corporation
    under a more realistic model which takes into consideration refinancing or
    capital injections. The model follows the compound Poisson framework with
    credit interest for positive reserve, and debit interest for negative reserve.
    Ruin occurs when the reserve drops below the critical value. The company
    controls the dividend pay-out dynamically with the objective to maximize the
    expected total discounted dividends until ruin.

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