标题:Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
作者:Yao, Dingjun; Yang, Hailiang; Wang, Rongming
作者机构:[Yang, Hailiang] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China.; [Yao, Dingjun] Nanjing Univ Finance & Econ, Sch 更多
通讯作者:Yang, H
通讯作者地址:[Yang, HL]Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Hong Kong, Peoples R China.
来源:EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
出版年:2011
卷:211
期:3
页码:568-576
DOI:10.1016/j.ejor.2011.01.015
关键词:Control; Dual insurance risk model; Optimal dividends; Capital; injections; Impulse control; Quasi-variational inequalities
摘要:In this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the expected present value of the dividends minus the discounted costs of capital injections. This paper can be considered as an extension of Yao et al. (2010), we include fixed transaction costs incurred by capital injections in this paper. This leads to an impulse control problem. Using the techniques of quasi-variational inequalities (QVI), this optimal control problem is solved. Numerical solutions are provided to illustrate the idea and methodologies, and some interesting economic insights are included. (C) 2011 Elsevier B.V. All rights reserved.
收录类别:EI;SCOPUS;SCIE;SSCI
WOS核心被引频次:38
Scopus被引频次:41
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-79952187704&doi=10.1016%2fj.ejor.2011.01.015&partnerID=40&md5=5b44ae90360928a77cd6356fdcc9cc39
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