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Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates

Recurso electrónico / Electronic resource
Registro MARC
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008  170301e20170102usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130014111‎$a‎Zhu, Jinxia
24510‎$a‎Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates‎$c‎Jinxia Zheng
520  ‎$a‎We consider the optimal financing (capital injections) and dividend payment problem for a Brownian motion model in the case of restricted dividend rates. The company has no obligation to inject capitals and therefore, the bankruptcy risk is present. Capital injections, if any, will incur both fixed and proportional transaction costs and dividend payments incur proportional transaction costs. The aim is to find the optimal strategy to maximize the expected present value of dividend payments minus the total cost of capital injections up to the time of bankruptcy. The problem is formulated as a mixed impulse-regular control problem. We address the problem via studying three cases of two auxiliary functions. We derive important analytical properties of the auxiliary functions and use them to study the value function and then identify the optimal control strategy. We show that the optimal dividend control is of threshold type and the optimal financing strategy prescribes to either never inject capitals or inject capitals only when the surplus reaches 0 with a fixed lump sum amount.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080562533‎$a‎Financiación
650 4‎$0‎MAPA20080618667‎$a‎Transacciones comerciales
650 4‎$0‎MAPA20080609368‎$a‎Ampliaciones de capital
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 239-268