Optimal dividend payment and capital injection of the compound Poisson risk model with both proportional and fixed costs

DOI10.1360/012011-1039zbMATH Open1488.91110OpenAlexW3150792419MaRDI QIDQ5017779FDOQ5017779

Authors: Shuaiqi Zhang, Guoxin Liu 

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012011-1039

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• scientific article; zbMATH DE number 6492429

zbMATH Keywords

quasi-variational inequalitiesoptimal dividend strategyimpulse stochastic controlcapital injection strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Cited In (15)

• Impulse stochastic control for the optimal dividend policy in a classical risk model with capital injection, transaction costs and taxes
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
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• Optimal stochastic impulse and regular control for capital injections: a hybrid strategy
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• A consistent estimation of optimal dividend strategy in a risk model with delayed claims
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• Optimal impulse dividend and capital injection model with proportional and fixed transaction costs
• Optimal dividend payments of a two-dimensional compound Poisson risk model with capital injection
• Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
• Optimal dividend and capital injection strategies with transaction costs and exponentially distributed observation time
• Optimal dividend and capital injection strategies in the compound Poisson model with random interest rates
• Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion

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