Optimal risk and dividend control problem with fixed costs and salvage value: Variance premium principle

Dingjun Yao, Hailiang Yang and Rongming Wang

Economic Modelling, 2014, vol. 37, issue C, 53-64

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.

Keywords: Dividend payment; Capital injection; Proportional reinsurance; Variance principle; Fixed costs; Salvage value (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999313004537
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:37:y:2014:i:c:p:53-64

DOI: 10.1016/j.econmod.2013.10.026

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().