Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs

DOI10.1016/J.EJOR.2011.01.015zbMATH Open1237.91143OpenAlexW2060167382MaRDI QIDQ418074FDOQ418074

Hailiang Yang, Dingjun Yao, Rongming Wang

Publication date: 14 May 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.01.015

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zbMATH Keywords

controlquasi-variational inequalitiesimpulse controlcapital injectionsdual insurance risk modeloptimal dividends

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Optimal stochastic control (93E20)

Cites Work

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Cited In (54)

• Optimal reinsurance under a new design: two layers and multiple reinsurers
• Optimal impulse dividend and capital injection model with proportional and fixed transaction costs
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• Optimal dividends with an affine penalty
• Precommitted investment strategy versus time-consistent investment strategy for a dual risk model
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• The optimal dividend payout model with terminal values and its application
• Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
• Equilibrium dividend strategy with non-exponential discounting in a dual model
• Dividends and reinsurance under a penalty for ruin
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• On finite-time ruin probabilities in a generalized dual risk model with dependence
• Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• On a class of non-zero-sum stochastic differential dividend games with regime switching
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Risk- and value-based management for non-life insurers under solvency constraints
• Risk-sensitive dividend problems
• Optimal dividends and capital injections in the dual model with a random time horizon
• Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
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• PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
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• Management of online server congestion using optimal demand throttling
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• Optimal control problem for an insurance surplus model with debt liability
• An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
• Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs
• A numerical approach to optimal dividend policies with capital injections and transaction costs

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