The authors prove existence and uniqueness of a strong solution to the HJB variational inequality for dividend ratcheting with capital injection and construct an explicit optimal feedback control strategy.
De Finetti,Su un’impostazione alternativa della teoria collettiva del rischio, in Transactions of the XVth International Congress of Actuaries, Vol
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Dividend ratcheting and capital injection under the Cram\'er-Lundberg model: Strong solution and optimal strategy
The authors prove existence and uniqueness of a strong solution to the HJB variational inequality for dividend ratcheting with capital injection and construct an explicit optimal feedback control strategy.