Abstract

Based on the mixed control strategy (regular control and impulse dividend control strategy), we formulate a proportional reinsurance model with transaction costs. For getting the maximal return function and associated mixed control strategy, using Ito calculus and classical mixed control theory, we derive the quasi-variational inequality solution to this optimal problem. Furthermore, we obtain its closed forms under some assumptions.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.