Optimal dividends with debts and nonlinear insurance risk processes
From MaRDI portal
Publication:2445995
DOI10.1016/j.insmatheco.2013.04.008zbMath1284.91564MaRDI QIDQ2445995
Tak Kuen Siu, Hui Meng, Hailiang Yang
Publication date: 15 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/198098
closed-form solution; HJB equation; transaction costs; optimal dividend; internal competition factors; nonlinear risk processes; regular-impulse control
49L20: Dynamic programming in optimal control and differential games
91G80: Financial applications of other theories
91G50: Corporate finance (dividends, real options, etc.)
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