%0 Journal Article
%T Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7010013
%X We consider the optimal bail-out dividend problem with fixed transaction cost for a L¨¦vy risk model with a constraint on the expected present value of injected capital. To solve this problem, we first consider the optimal bail-out dividend problem with transaction cost and capital injection and show the optimality of reflected ( c 1 , c 2 ) -policies. We then find the optimal Lagrange multiplier, by showing that in the dual Lagrangian problem the complementary slackness conditions are met. Finally, we present some numerical examples to support our results. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/1/13