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Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes

✍ Scribed by Bai, Lihua; Paulsen, Jostein

Book ID
118204916
Publisher
Society for Industrial and Applied Mathematics
Year
2010
Tongue
English
Weight
369 KB
Volume
48
Category
Article
ISSN
0363-0129

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πŸ“œ SIMILAR VOLUMES

Optimal proportional reinsurance policie
Optimal proportional reinsurance policies for diffusion models with transaction costs
✍ Bjarne HΓΈjgaard; Michael Taksar πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 451 KB

This paper extends the results of Hojgaard and Taksar (1997a) to the case of posititve transactions costs. The setting here and in HCjgaard and Taksar (1997a) is the following: When applying a proportional reinsurance policy rr the reserve of the insurance company {R~ r } is governed by a SDE dR~ --