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Article: Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
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TitleOptimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
 
AuthorsYao, D3
Yang, H2
Wang, R1 4
 
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
 
CitationEuropean 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.
 
ISSN0377-2217
2013 Impact Factor: 1.843
2013 SCImago Journal Rankings: 2.595
 
DOIhttp://dx.doi.org/10.1016/j.ejor.2011.01.015
 
ISI Accession Number IDWOS: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).

 
ReferencesReferences in Scopus
 
GrantsOption Pricing and ALM in Regime Switching Models
 
DC FieldValue
dc.contributor.authorYao, D
 
dc.contributor.authorYang, H
 
dc.contributor.authorWang, R
 
dc.date.accessioned2011-07-27T01:36:07Z
 
dc.date.available2011-07-27T01:36:07Z
 
dc.date.issued2011
 
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.
 
dc.description.naturelink_to_subscribed_fulltext
 
dc.identifier.citationEuropean 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
 
dc.identifier.citeulike8669415
 
dc.identifier.doihttp://dx.doi.org/10.1016/j.ejor.2011.01.015
 
dc.identifier.epage576
 
dc.identifier.hkuros187180
 
dc.identifier.isiWOS: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).

 
dc.identifier.issn0377-2217
2013 Impact Factor: 1.843
2013 SCImago Journal Rankings: 2.595
 
dc.identifier.issue3
 
dc.identifier.openurl
 
dc.identifier.scopuseid_2-s2.0-79952187704
 
dc.identifier.spage568
 
dc.identifier.urihttp://hdl.handle.net/10722/135500
 
dc.identifier.volume211
 
dc.languageeng
 
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor
 
dc.publisher.placeNetherlands
 
dc.relation.ispartofEuropean Journal of Operational Research
 
dc.relation.projectOption Pricing and ALM in Regime Switching Models
 
dc.relation.referencesReferences in Scopus
 
dc.subjectCapital injections
 
dc.subjectControl
 
dc.subjectDual insurance risk model
 
dc.subjectImpulse control
 
dc.subjectOptimal dividends
 
dc.subjectQuasi-variational inequalities
 
dc.titleOptimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
 
dc.typeArticle
 
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Author Affiliations
  1. Shandong University
  2. The University of Hong Kong
  3. Nanjing University of Finance and EcoNomics
  4. East China Normal University