Optimal dividend and equity issuance problem with proportional and fixed transaction costs

From MaRDI portal
Publication:2447412


DOI10.1016/j.insmatheco.2012.08.004zbMath1285.91065OpenAlexW2039281159MaRDI QIDQ2447412

Mi Chen, Xiaofan Peng, Jun-Yi Guo

Publication date: 25 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.08.004



Related Items

Optimal dividends and capital injections for a spectrally positive Lévy process, Optimal dividend and reinsurance in the presence of two reinsurers, Dividend and capital injection optimization with transaction cost for Lévy risk processes, OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE, OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES, Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes, Optimal dividends and reinsurance with capital injection under thinning dependence, Optimal dividends and capital injections in the dual model with a random time horizon, Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences, Optimal dividend and risk control strategies for an insurer with two groups of reinsurers, Optimal impulse dividend and capital injection model with proportional and fixed transaction costs, HJB equation for optimal control system with random impulses, Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model, Optimal financing and dividend policy with Markovian switching regimes, Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle, Optimal dividend problem with a nonlinear regular-singular stochastic control, Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs, Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle, Optimal dividends and capital injection under dividend restrictions, Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value, Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin, Optimal reinsurance and dividends with transaction costs and taxes under thinning structure, General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes, Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments, Optimal dividend and proportional reinsurance strategy under standard deviation premium principle



Cites Work