Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs

DOI10.1016/J.INSMATHECO.2008.10.001zbMath1156.91395OpenAlexW2036562422MaRDI QIDQ1003821

Lin He, Zongxia Liang

Publication date: 4 March 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.10.001

zbMATH Keywords

HJB equationproportional reinsurancefixed transaction costoptimal dividend controloptimal financing controlclassical-impulse control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Stochastic integrals (60H05) Portfolio theory (91G10)

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