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

作　　者：Xin ZHANG Min SONG 

机构地区：[1]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China [2]Department of Finance, School of Economics, Nankai University, Tianjin 300071, China

出　　处：《Frontiers of Mathematics in China》2012年第4期795-811,共17页中国高等学校学术文摘·数学（英文）

基　　金：The first author was supported by the National Natural Science Foundation of China （Grant Nos. 11001139, 11171164） and the Specialized Research Fund for the Doctoral Program of Higher Education （Grant No. 20100031120002）. The second author was supported by the National Natural Science Foundation of China （Grant No. 11101225）.

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 p 〉 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 policyIn 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 p 〉 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

关 键 词：Mixed classical-impulse control impulse control DIVIDENDS quasivariational inequality transaction costs 

分 类 号：F270[经济管理—企业管理] S772[经济管理—国民经济]