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Optimization of risk policy and dividends with fixed transaction costs under interest rate
  • ISSN号：1673-3452
  • 期刊名称：Frontiers of Mathematics in China
  • 时间：2012.10.1
  • 页码：795-811
  • 分类：F270[经济管理—企业管理;经济管理—国民经济] S772[农业科学—森林工程;农业科学—林学]
  • 作者机构：[1]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China, [2]Department of Finance, School of Economics, Nankai University, Tianjin 300071, China
  • 相关基金：The first author was supported by the National Natural Science Foundation of China （Grant Nos. 11001139, 11171164） and the Specialized Research Fund for the Doctoral Program of Higher Education （Grant No. 20100031120002）. The second author was supported by the National Natural Science Foundation of China （Grant No. 11101225）.
  • 相关项目：随机保险的风险管理与投资分红策略优化的研究
作者： Xin Zhang|Min Song|
关键词： 交易成本, 成本风险, 优化问题, 利率, 金融企业, 控制问题, 最优策略, 价值函数, Mixed classical-impulse control, impulse control, dividends, quasivariational inequality, transaction costs
中文摘要：

在这份报纸，我们与办理费用为一个金融公司考虑红利优化问题。除红利控制以外，金融公司拿比例的再保险减少风险，剩余在经常的力量挣利息 > 0。因为固定办理费用的存在，这个问题成为一个混合古典推动的随机的控制问题。我们明确地解决这个问题并且和最佳的政策构造价值功能。

英文摘要：

In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force p 〉 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy

同期刊论文项目
保险风险理论中的随机最优控制问题
期刊论文 44
马尔科夫体制转换模型下金融保险中的破产与随机优化问题研究
期刊论文 5
随机保险的风险管理与投资分红策略优化的研究
期刊论文 8
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期刊信息
  • 《中国数学前沿：英文版》
  • 主管单位:中华人民共和国教育部
  • 主办单位:高等教育出版社
  • 主编：张恭庆
  • 地址：北京市朝阳区惠新东街4号富盛大厦15层
  • 邮编：100029
  • 邮箱：
  • 电话：010-58556485
  • 国际标准刊号：ISSN：1673-3452
  • 国内统一刊号：ISSN：11-5739/O1
  • 邮发代号:80-964
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国剑桥科学文摘,美国科学引文索引（扩展库）
  • 被引量:10