Optimal Dividend and Capital Injection Problem with Transaction Cost and Salvage Value: The Case of Excess-of-Loss Reinsurance Based on the Symmetry of Risk Information

Optimal Dividend and Capital Injection Problem with Transaction Cost and Salvage Value: The Case of Excess-of-Loss Reinsurance Based on the Symmetry of Risk Information

This paper considers the optimal dividend and capital injection problem for an insurance company, which controls the risk exposure by both the excess-of-loss reinsurance and capital injection based on the symmetry of risk information. Besides the proportional transaction cost, we also incorporate th...

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Bibliographic Details
Main Authors: Qingyou Yan, Le Yang, Tomas Baležentis, Dalia Streimikiene, Chao Qin
Format: Article
Language:English
Published: MDPI AG 2018-07-01
Series:Symmetry
Subjects:
optimal dividend
capital injection
salvage value
transaction cost
excess-of-loss reinsurance
Online Access:http://www.mdpi.com/2073-8994/10/7/276

Internet

http://www.mdpi.com/2073-8994/10/7/276

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