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...
Main Authors: | , , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2018-07-01
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Series: | Symmetry |
Subjects: | |
Online Access: | http://www.mdpi.com/2073-8994/10/7/276 |