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

DOI10.1360/012011-1039MaRDI QIDQ5017779zbMATH OpenOpenAlexFDO

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

capital injection strategyimpulse stochastic controloptimal dividend strategyquasi-variational inequalities

Mathematics Subject Classification ID

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

Recommendations

• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Optimal dividend payments of a two-dimensional compound Poisson risk model with capital injection
• Optimal dividend and capital injection strategies with transaction costs and exponentially distributed observation time
• Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion
• scientific article; zbMATH DE number 6492429

Cited in

(16)

• Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion
• scientific article; zbMATH DE number 6492429 (Why is no real title available?)
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• scientific article; zbMATH DE number 6130083 (Why is no real title available?)
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Optimal dividend payments of a two-dimensional compound Poisson risk model with capital injection
• Optimal dividend and capital injection strategies in the compound Poisson model with random interest rates
• A consistent estimation of optimal dividend strategy in a risk model with delayed claims
• Optimal stochastic impulse and regular control for capital injections: a hybrid strategy
• Optimal dividend and capital injection strategies with transaction costs and exponentially distributed observation time
• Impulse stochastic control for the optimal dividend policy in a classical risk model with capital injection, transaction costs and taxes
• scientific article; zbMATH DE number 6262709 (Why is no real title available?)
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• Optimal impulse dividend and capital injection model with proportional and fixed transaction costs
• Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
• Optimal investment and risk management strategies considering catastrophe bond issuance under ambiguity aversion

This page was built for publication: Optimal dividend payment and capital injection of the compound Poisson risk model with both proportional and fixed costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5017779)