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On the closed-form expected NPVs of the double barrier strategy...

Author
Chongrui Zhu
Date Updated
2022/06/20
Category
q-fin.RM
Date Published
2022/06/17
Date Retrieved
2022/06/20
Description
The core of the research is to provide the explicit expression for the expected net present values (NPVs) of the double barrier strategy for regular diffusions. Under the so-called bail-out setting, the value of the expected NPVs of an insurance company varies according to the choice of a pair of policies, which consist of dividend payments paid out and capital injections received. In the case of the double barrier strategy, the closed-form expected NPVs are given via the bivariate $q$-scale function. This is accomplished by making use of a perturbation technique, which could lead to the linear equation system. The expression obtained here shall be conducive to addressing the associated dividends control problems.
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URL
https://arxiv.org/abs/2206.08922
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