Optimization of risk policy and dividends with fixed transaction costs under interest rate

被引：2
|
作者：
Zhang, Xin [1 ,3 ]
Song, Min [2 ]
机构：
[1] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
[2] Nankai Univ, Sch Econ, Dept Finance, Tianjin 300071, Peoples R China
[3] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
FRONTIERS OF MATHEMATICS IN CHINA | 2012年 / 7卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Mixed classical-impulse control; impulse control; dividends; quasivariational inequality; transaction costs; IMPULSE STOCHASTIC-CONTROL; COMPANY; MODELS;
D O I：
10.1007/s11464-012-0219-0
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force rho > 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy.
引用
收藏
页码：795 / 811
页数：17
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