Sección: ArtículosTítulo: Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs / Huiqi Guan, Zongxia LiangAutor: Guan, HuiqiNotas: Sumario: We consider an optimal impulse control problem on reinsurance, dividend and reinvestment of an insurance company. To close reality, we add fixed and proportional transaction costs to this problem. The value of the company is associated with expected present value of net dividends pay out minus the net reinvestment capitals until ruin time. We focus on non-cheap proportional reinsurance. We prove that the value function is a unique solution to associated HamiltonJacobiBellman equation, and establish the regularity property of the viscosity solution under a weak assumption. We solve the non-uniformly elliptic equation associated with the impulse control problem. Finally, we derive the value function and the optimal strategy of the control problem.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 13/01/2014 Volumen 54 Número 1 - enero 2014 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
