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

被引：0
|
作者：
Xin Zhang
Min Song
机构：
[1] Nankai University,School of Mathematical Sciences and LPMC
[2] Nankai University,Department of Finance, School of Economics
来源：
Frontiers of Mathematics in China | 2012年 / 7卷
关键词：
Mixed classical-impulse control; impulse control; dividends; quasi-variational inequality; transaction costs; 93E20; 91B30;
D O I：
暂无
中图分类号：
学科分类号：
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 ρ > 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.
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页码：795 / 811
页数：16
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