Optimal Asset Control of the Dual Model with a Penalty at Ruin
Received:April 22, 2016  Revised:April 19, 2017
Key Word: dual model   optimal dividend control   equity issuance   time value of ruin   proportional transaction costs  
Fund ProjectL: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).
Author NameAffiliation
Hongshuai DAI School of Statistics, Shandong University of Finance and Economics, Shandong 250014, P. R. China 
Lingtao KONG School of Statistics, Shandong University of Finance and Economics, Shandong 250014, P. R. China 
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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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