JOURNAL OF LIGHT INDUSTRY

CN 41-1437/TS  ISSN 2096-1553

Volume 29 Issue 6
November 2014
Article Contents
YUE Yi-meng, ZHAO Rui and WANG Hui. Optimal dividend strategies for a risk model under force of interest and transaction cost[J]. Journal of Light Industry, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
Citation: YUE Yi-meng, ZHAO Rui and WANG Hui. Optimal dividend strategies for a risk model under force of interest and transaction cost[J]. Journal of Light Industry, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022 shu

Optimal dividend strategies for a risk model under force of interest and transaction cost

  • Received Date: 2014-08-20
    Available Online: 2014-11-15
  • Considering the classical risk model with optimal dividend payments under force of interest and transaction cost, with maximizing the discounted dividend payments minus the penalized discounted capital injections as the object the corresponding Hamilton-Jacobi-Bellman equation was built by stochastic control theory.A method to determine numerically the solution to the integro-differential equation was derived.It showed that the optimal strategy was threshold strategy.
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