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

zbMATH Keywords

quasi-variational inequalitiesoptimal dividend strategyimpulse stochastic controlcapital injection strategy

Mathematics Subject Classification ID

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

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• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
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• 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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