OPTIMAL REINSURANCE-INVESTMENT AND DIVIDENDS PROBLEM WITH FIXED TRANSACTION COSTS

被引：0
|
作者：
Zhang, Xin [1 ]
Xiong, Jie [2 ]
Zhang, Shuaiqi [3 ]
机构：
[1] Southeast Univ, Sch Math, Nanjing 211189, Jiangsu, Peoples R China
[2] Southern Univ Sci & Technol, Dept Math, SUSTech Int Ctr Math, Shenzhen 518055, Peoples R China
[3] China Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2021年 / 17卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Mixed classical-impulse control; Reinsurance-investment and Dividends; Quasi-variational inequalities; Transaction costs; IMPULSE STOCHASTIC-CONTROL; DIFFUSION-MODEL; RISK PROCESS; OPTIMIZATION; POLICIES; PORTFOLIO; COMPANY;
D O I：
10.3934/jimo.2020008
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
In this paper, we consider the dividend optimization problem for a financial corporation with fixed transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and invests its reserve in a financial market consisting of a risk-free asset (bond) and a risky asset (stock). Because of the presence of the 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：981 / 999
页数：19
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