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
相关论文
共 50 条
  • [41] Optimal reinsurance-investment policies for insurers with mispricing under mean-variance criterion
    Wang, Yijun
    Deng, Yingchun
    Huang, Ya
    Zhou, Jieming
    Xiang, Xuyan
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (16) : 5653 - 5680
  • [42] Optimal Reinsurance-Investment Strategy Based on Stochastic Volatility and the Stochastic Interest Rate Model
    Bei, Honghan
    Wang, Qian
    Wang, Yajie
    Wang, Wenyang
    Murcio, Roberto
    [J]. AXIOMS, 2023, 12 (08)
  • [43] Optimal reinsurance and investment problem in a defaultable market
    Ma, Jianjing
    Wang, Guojing
    Yuan, George Xianzhi
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (07) : 1597 - 1614
  • [44] Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation
    Chang Guo
    Xiaoyang Zhuo
    Corina Constantinescu
    Olivier Menoukeu Pamen
    [J]. Methodology and Computing in Applied Probability, 2018, 20 : 1477 - 1502
  • [45] Deep learning solution of optimal reinsurance-investment strategies with inside information and multiple risks
    Peng, Fanyi
    Yan, Ming
    Zhang, Shuhua
    [J]. MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2024,
  • [46] Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model
    Sheng, De-Lei
    [J]. ADVANCES IN MATHEMATICAL PHYSICS, 2016, 2016
  • [47] A Stackelberg reinsurance-investment game with asymmetric information and delay
    Bai, Yanfei
    Zhou, Zhongbao
    Xiao, Helu
    Gao, Rui
    [J]. OPTIMIZATION, 2021, 70 (10) : 2131 - 2168
  • [48] On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
    Santacroce, Marina
    Trivellato, Barbara
    [J]. DECISIONS IN ECONOMICS AND FINANCE, 2024,
  • [49] A spectral method for an Optimal Investment problem with transaction costs under Potential Utility
    de Frutos, Javier
    Gaton, Victor
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 319 : 262 - 276
  • [50] A hybrid reinsurance-investment game with delay and asymmetric information
    Zhou, Guoyong
    Qiu, Zhijian
    Li, Sheng
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2024, 440
12345