| Optimal Asset Control of the Dual Model with a Penalty at Ruin |
| Received:April 22, 2016 Revised:April 19, 2017 |
| Key Words:
dual model optimal dividend control equity issuance time value of ruin proportional transaction costs
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| Fund Project:Supported by the National Natural Science Foundation of China (Grant No.11361007), the Guangxi Natural Science Foundation (Grant No.2014GXNSFCA118001), the Fostering Project of Dominant Discipline and Talent Team of Shandong Provincial Higher Education Institutions and the Fostering Project of Dominant Discipline and Talent Team of SDUFE and Project of Shandong Provincial Higher Educational Science and Technology Program (Grant Nos.J15LI01; J17KA163). |
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| Abstract: |
| In this paper, we study the optimal financing problem in the dual model. We introduce a value function which considers both the expected present value of the dividends payout minus the equity issuance and a penalty at ruin. In order to get the optimal strategy, two categories of suboptimal models are constructed and studied. Based on these two suboptimal models, we identify the value function and the optimal strategy in the general optimal problem. |
| Citation: |
| DOI:10.3770/j.issn:2095-2651.2017.04.009 |
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