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Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
1. | School of Finance, The Center of Cooperative Innovation for Modern Service Industry, Nanjing University of Finance and Economics, Nanjing 210023, China |
2. | School of Finance and Statistics, Research Center of International Finance and Risk Management, East China Normal University, Shanghai 200241, China |
3. | School of Mathematics and Computer Sciences, Anhui Normal University, Wuhu, Anhui, 241003 |
References:
[1] |
H. Albrecher and S. Thonhauser, Optimality results for dividend problems in insurance, RACSAM Rev. R. Acad. Cien. Serie A. Mat., 103 (2009), 295-320.
doi: 10.1007/BF03191909. |
[2] |
S. Asmussen and M. Taksar, Controlled diffusion models for optimal dividend pay-out, Insurance: Mathematics and Economics, 20 (1997), 1-15.
doi: 10.1016/S0167-6687(96)00017-0. |
[3] |
B. Avanzi, J. Shen and B. Wong, Optimal dividends and capital injections in the dual model with diffusion, ASTIN Bulletin, 41 (2011), 611-644.
doi: 10.2139/ssrn.1709174. |
[4] |
F. Avram, Z. Palmowski and M. R. Pistorius, On the optimal dividend problem for a spectrally negative Lévy process, The Annals of Applied Probability, 17 (2007), 156-180.
doi: 10.1214/105051606000000709. |
[5] |
L. Bai and J. Guo, Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes, Scandinavian Actuarial Journal, 2010 (2010), 36-55.
doi: 10.1080/03461230802591098. |
[6] |
A. Cadenillas, T. Choulli, M. Taksar and L. Zhang, Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm, Mathematical Finance, 16 (2006), 181-202.
doi: 10.1111/j.1467-9965.2006.00267.x. |
[7] |
H. Dai, Z. Liu, and N. Luan, Optimal dividend strategies in a dual model with capital injections, Mathematical Methods of Operations Research, 72 (2010), 129-143.
doi: 10.1007/s00186-010-0312-7. |
[8] |
A. Feldmann and W. Whitt, Fitting mixtures of exponentials to long-tail distributions to analyze network performance models, Performance Evaluation, 31 (1998), 245-279.
doi: 10.1016/S0166-5316(97)00003-5. |
[9] |
N. Kulenko and H. Schimidli, Optimal dividend strategy in a Cramér-Lundberg model with capital injections, Insurance: Mathmatics and Economics, 43 (2008), 270-278.
doi: 10.1016/j.insmatheco.2008.05.013. |
[10] |
A. Løkka and M. Zervos, Optimal dividend and issuance of equity policies in the presence of proportional costs, Insurance: Mathematics and Economics, 42 (2008), 954-961.
doi: 10.1016/j.insmatheco.2007.10.013. |
[11] |
A. C. Y. Ng, On a dual model with a dividend threshold, Insurance: Mathematics and Economics, 44 (2009), 315-324.
doi: 10.1016/j.insmatheco.2008.11.011. |
[12] |
J. Paulsen, Optimal dividend payments and reinvestments of diffusion processes with both fixed and proportional costs, SIAM Journal on Control and Optimization, 47 (2008), 2201-2226.
doi: 10.1137/070691632. |
[13] |
X. Peng, M. Chen and J. Guo, Optimal dividend and equity issuance problem with proportional and fixed transaction costs, Insurance: Mathematics and Economics, 51 (2012), 576-585.
doi: 10.1016/j.insmatheco.2012.08.004. |
[14] |
S. P. Sethi and M. Taksar, Optimal financing of a corporation subject to random returns, Mathematical Finance, 12 (2002), 155-172.
doi: 10.1111/1467-9965.t01-2-02002. |
[15] |
N. Scheer and H. Schmidli, Optimal dividend strategies in a cramér-lundberg model with capital injections and administration costs, European Actuarial Journal, 1 (2011), 57-92.
doi: 10.1007/s13385-011-0007-3. |
[16] |
S. Thonhauser and H. Albrecher, Dividend maximization under consideration of the time value of ruin, Insurance: Mathematics and Economics, 44 (2007), 163-184.
doi: 10.1016/j.insmatheco.2006.10.013. |
[17] |
D. Yao, H. Yang and R. Wang, Optimal financing and dividend strategies in a dual model with proportional costs, Journal of Industrial and Management Optimization, 6 (2010), 761-777.
doi: 10.3934/jimo.2010.6.761. |
[18] |
D. Yao, H. Yang and R. Wang, Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs, European Journal of Operational Research, 211 (2011), 568-576.
doi: 10.1016/j.ejor.2011.01.015. |
show all references
References:
[1] |
H. Albrecher and S. Thonhauser, Optimality results for dividend problems in insurance, RACSAM Rev. R. Acad. Cien. Serie A. Mat., 103 (2009), 295-320.
doi: 10.1007/BF03191909. |
[2] |
S. Asmussen and M. Taksar, Controlled diffusion models for optimal dividend pay-out, Insurance: Mathematics and Economics, 20 (1997), 1-15.
doi: 10.1016/S0167-6687(96)00017-0. |
[3] |
B. Avanzi, J. Shen and B. Wong, Optimal dividends and capital injections in the dual model with diffusion, ASTIN Bulletin, 41 (2011), 611-644.
doi: 10.2139/ssrn.1709174. |
[4] |
F. Avram, Z. Palmowski and M. R. Pistorius, On the optimal dividend problem for a spectrally negative Lévy process, The Annals of Applied Probability, 17 (2007), 156-180.
doi: 10.1214/105051606000000709. |
[5] |
L. Bai and J. Guo, Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes, Scandinavian Actuarial Journal, 2010 (2010), 36-55.
doi: 10.1080/03461230802591098. |
[6] |
A. Cadenillas, T. Choulli, M. Taksar and L. Zhang, Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm, Mathematical Finance, 16 (2006), 181-202.
doi: 10.1111/j.1467-9965.2006.00267.x. |
[7] |
H. Dai, Z. Liu, and N. Luan, Optimal dividend strategies in a dual model with capital injections, Mathematical Methods of Operations Research, 72 (2010), 129-143.
doi: 10.1007/s00186-010-0312-7. |
[8] |
A. Feldmann and W. Whitt, Fitting mixtures of exponentials to long-tail distributions to analyze network performance models, Performance Evaluation, 31 (1998), 245-279.
doi: 10.1016/S0166-5316(97)00003-5. |
[9] |
N. Kulenko and H. Schimidli, Optimal dividend strategy in a Cramér-Lundberg model with capital injections, Insurance: Mathmatics and Economics, 43 (2008), 270-278.
doi: 10.1016/j.insmatheco.2008.05.013. |
[10] |
A. Løkka and M. Zervos, Optimal dividend and issuance of equity policies in the presence of proportional costs, Insurance: Mathematics and Economics, 42 (2008), 954-961.
doi: 10.1016/j.insmatheco.2007.10.013. |
[11] |
A. C. Y. Ng, On a dual model with a dividend threshold, Insurance: Mathematics and Economics, 44 (2009), 315-324.
doi: 10.1016/j.insmatheco.2008.11.011. |
[12] |
J. Paulsen, Optimal dividend payments and reinvestments of diffusion processes with both fixed and proportional costs, SIAM Journal on Control and Optimization, 47 (2008), 2201-2226.
doi: 10.1137/070691632. |
[13] |
X. Peng, M. Chen and J. Guo, Optimal dividend and equity issuance problem with proportional and fixed transaction costs, Insurance: Mathematics and Economics, 51 (2012), 576-585.
doi: 10.1016/j.insmatheco.2012.08.004. |
[14] |
S. P. Sethi and M. Taksar, Optimal financing of a corporation subject to random returns, Mathematical Finance, 12 (2002), 155-172.
doi: 10.1111/1467-9965.t01-2-02002. |
[15] |
N. Scheer and H. Schmidli, Optimal dividend strategies in a cramér-lundberg model with capital injections and administration costs, European Actuarial Journal, 1 (2011), 57-92.
doi: 10.1007/s13385-011-0007-3. |
[16] |
S. Thonhauser and H. Albrecher, Dividend maximization under consideration of the time value of ruin, Insurance: Mathematics and Economics, 44 (2007), 163-184.
doi: 10.1016/j.insmatheco.2006.10.013. |
[17] |
D. Yao, H. Yang and R. Wang, Optimal financing and dividend strategies in a dual model with proportional costs, Journal of Industrial and Management Optimization, 6 (2010), 761-777.
doi: 10.3934/jimo.2010.6.761. |
[18] |
D. Yao, H. Yang and R. Wang, Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs, European Journal of Operational Research, 211 (2011), 568-576.
doi: 10.1016/j.ejor.2011.01.015. |
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