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Article: Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs

TitleOptimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Authors
Yao, DYang, HWang, R
KeywordsCapital injections
Control
Dual insurance risk model
Impulse control
Optimal dividends
Quasi-variational inequalities
Issue Date2011
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor
Citation
European Journal Of Operational Research, 2011, v. 211 n. 3, p. 568-576 How to Cite?
DOI: http://dx.doi.org/10.1016/j.ejor.2011.01.015
AbstractIn this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the expected present value of the dividends minus the discounted costs of capital injections. This paper can be considered as an extension of Yao et al. (2010), we include fixed transaction costs incurred by capital injections in this paper. This leads to an impulse control problem. Using the techniques of quasi-variational inequalities (QVI), this optimal control problem is solved. Numerical solutions are provided to illustrate the idea and methodologies, and some interesting economic insights are included. © 2011 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/135500
ISSN
0377-2217
2021 Impact Factor: 6.363
2020 SCImago Journal Rankings: 2.161
ISI Accession Number ID
WOS:000288840800013
Funding AgencyGrant Number
Research Grants Council of the Hong Kong Special Administrative Region, ChinaHKU 706209P
National Natural Science Foundation of China10971068
70871058
National Basic Research Program of China (973 Program)2007CB814904
Program for New Century Excellent Talents in UniversityNCET-09-0356
Scientific Research Foundation of Nanjing University of Finance and EconomicsA2010015
Funding Information:

The authors thank two referees for their anonymous comments to improve the paper. This work was supported by the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKU 706209P), National Natural Science Foundation of China (10971068, 70871058), National Basic Research Program of China (973 Program) under Grant No. 2007CB814904 and Program for New Century Excellent Talents in University (NCET-09-0356), and the Fundamental Research Funds for the Central Universities and the Scientific Research Foundation of Nanjing University of Finance and Economics (A2010015).

References
References in Scopus
Grants
Option Pricing and ALM in Regime Switching Models

 

DC FieldValueLanguage
dc.contributor.authorYao, Den_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorWang, Ren_HK
dc.date.accessioned2011-07-27T01:36:07Z-
dc.date.available2011-07-27T01:36:07Z-
dc.date.issued2011en_HK
dc.identifier.citationEuropean Journal Of Operational Research, 2011, v. 211 n. 3, p. 568-576en_HK
dc.identifier.issn0377-2217en_HK
dc.identifier.urihttp://hdl.handle.net/10722/135500-
dc.description.abstractIn this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the expected present value of the dividends minus the discounted costs of capital injections. This paper can be considered as an extension of Yao et al. (2010), we include fixed transaction costs incurred by capital injections in this paper. This leads to an impulse control problem. Using the techniques of quasi-variational inequalities (QVI), this optimal control problem is solved. Numerical solutions are provided to illustrate the idea and methodologies, and some interesting economic insights are included. © 2011 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejoren_HK
dc.relation.ispartofEuropean Journal of Operational Researchen_HK
dc.subjectCapital injectionsen_HK
dc.subjectControlen_HK
dc.subjectDual insurance risk modelen_HK
dc.subjectImpulse controlen_HK
dc.subjectOptimal dividendsen_HK
dc.subjectQuasi-variational inequalitiesen_HK
dc.titleOptimal dividend and capital injection problem in the dual model with proportional and fixed transaction costsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0377-2217&volume=211&issue=3&spage=568&epage=576&date=2011&atitle=Optimal+dividend+and+capital+injection+problem+in+the+dual+model+with+proportional+and+fixed+transaction+costsen_US
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.ejor.2011.01.015en_HK
dc.identifier.scopuseid_2-s2.0-79952187704en_HK
dc.identifier.hkuros187180en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79952187704&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume211en_HK
dc.identifier.issue3en_HK
dc.identifier.spage568en_HK
dc.identifier.epage576en_HK
dc.identifier.isiWOS:000288840800013-
dc.publisher.placeNetherlandsen_HK
dc.relation.projectOption Pricing and ALM in Regime Switching Models-
dc.identifier.scopusauthoridYao, D=17436591500en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridWang, R=7405334582en_HK
dc.identifier.citeulike8669415-
dc.identifier.issnl0377-2217-

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