Optimization of risk policy and dividends with fixed transaction costs under interest rate
Optimization of risk policy and dividends with fixed transaction costs under interest rate
Xin ZHANG1(), Min SONG2
1. School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China; 2. Department of Finance, School of Economics, Nankai University, Tianjin 300071, China
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.
. Optimization of risk policy and dividends with fixed transaction costs under interest rate[J]. Frontiers of Mathematics in China, 2012, 7(4): 795-811.
Xin ZHANG, Min SONG. Optimization of risk policy and dividends with fixed transaction costs under interest rate. Front Math Chin, 2012, 7(4): 795-811.
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