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  • Search: subject:"Mixed regular-singular-impulse control"
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Equity issuance 1 HJB equation 1 Mixed regular-singular-impulse control 1 Optimal dividend 1 Transaction costs 1
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Chen, Mi 1 Guo, Junyi 1 Peng, Xiaofan 1
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Insurance: Mathematics and Economics 1
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Optimal dividend and equity issuance problem with proportional and fixed transaction costs
Peng, Xiaofan; Chen, Mi; Guo, Junyi - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 576-585
This paper investigates the optimal dividend problem of an insurance company, which controls risk exposure by reinsurance and by issuing new equity to protect from bankruptcy. Transaction costs are incurred by these business activities: reinsurance is non-cheap, dividend is taxed and fixed costs...
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