Optimal proportional reinsurance model with transaction costs |
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| Authors: | Ruicheng Yang Xuezhi Qin |
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| Institution: | 1. School of Management, College of Advanced Science and Technology, Dalian University of Technology, Dalian, 116023, People’s Republic of China
2. School of Mathematics and Information, Ludong University, Yantai, 264025, People’s Republic of China
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| 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 Itô 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. |
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