Abstract
In this paper we study the combined optimal dividend, capital injection and reinsurance problems in a dynamic
setting. The reinsurance premium is assumed to be calculated via the variance principle instead of the expected
value principle. The proportional and fixed transaction costs and the salvage value at bankruptcy are included in
the model. In both cases of unrestricted dividend rate and restricted dividend rate, we obtain the closed-form solutions of the value function and the optimal joint strategies, which depend on the transaction costs and the profitability in future.
setting. The reinsurance premium is assumed to be calculated via the variance principle instead of the expected
value principle. The proportional and fixed transaction costs and the salvage value at bankruptcy are included in
the model. In both cases of unrestricted dividend rate and restricted dividend rate, we obtain the closed-form solutions of the value function and the optimal joint strategies, which depend on the transaction costs and the profitability in future.
| Original language | English |
|---|---|
| Pages (from-to) | 53-64 |
| Journal | Economic Modelling |
| Volume | 37 |
| Publication status | Published - 2014 |
| Externally published | Yes |