Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin

DOI10.1080/03610926.2013.810269zbMath1360.91097OpenAlexW2237986147MaRDI QIDQ2807687

Rong-Ming Wang, Yongxia Zhao, Ding Jun Yao

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.810269

zbMATH Keywords

HJB equationtransaction costsdual modeldividendequity issuance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (5)

On the dividends of the risk model with Markovian barrier ⋮ Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes ⋮ Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

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