Frontiers of Mathematics in China >
Optimization of risk policy and dividends with fixed transaction costs under interest rate
Received date: 11 Jun 2009
Accepted date: 14 May 2012
Published date: 01 Aug 2012
Copyright
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.
Xin ZHANG , Min SONG . Optimization of risk policy and dividends with fixed transaction costs under interest rate[J]. Frontiers of Mathematics in China, 2012 , 7(4) : 795 -811 . DOI: 10.1007/s11464-012-0219-0
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