Name
Abstract | ||
|---|---|---|
We investigate an optimal financing and dividend control problem of an insurance company facing fixed and proportional transaction costs. The goal of the company is to maximize the expected present value of future dividends after deduction of the equity issuance until the time of bankruptcy. We formulate the problem as a mixed classical-impulse control and discuss the problem using the HJB dynamic programming approach. A viscosity solution is considered and its uniqueness is established. We also give results for the regularity and structure of the value function and the optimal policy of the control problem. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1137/090773167 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
insurance company,expected present value,control problem,optimal financing,mixed classical-impulse control,equity issuance,value function,hjb dynamic programming approach,dividend control problem,optimal mixed impulse-equity insurance,optimal policy,viscosity solution | Hamilton–Jacobi–Bellman equation,Present value,Mathematical optimization,Reinsurance,Dividend,Bellman equation,Equity (finance),Bankruptcy,Mathematics,Equity issuance | Journal |
Volume | Issue | ISSN |
49 | 1 | 0363-0129 |
Citations | PageRank | References |
4 | 1.00 | 6 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Hui Meng | 1 | 6 | 1.81 |
| Tak Kuen Siu | 2 | 114 | 20.25 |