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

页码：795 / 811

页数：17

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