郑州轻工业学院学报（自然科学版）Issue(6)：99-102,4.DOI:10.3969/j.issn.2095-476X.2014.06.022
带利息力和交易费用的风险模型的最优分红策略
Optimal dividend strategies for a risk model under force of interest and transaction cost
摘要
Abstract
Considering the classical risk model with optimal dividend payments under force of interest and transaction cost,with maximizing the discounted dividend payments minus the penalized discounted capital injections as the object the corresponding Hamilton-Jacobi-Bellman equation was built by stochastic control theory.A method to determine numerically the solution to the integro-differential equation was derived.It showed that the optimal strategy was threshold strategy.关键词
分红策略/随机控制/HJB方程Key words
dividend strategy/random control/hamilton-Jacobi-Bellman (HJB)equation分类
数理科学引用本文复制引用
岳毅蒙,赵锐,王辉..带利息力和交易费用的风险模型的最优分红策略[J].郑州轻工业学院学报（自然科学版）,2014,(6):99-102,4.基金项目
陕西省自然科学基础研究计划项目（2013JM1023）；陕西省教育厅科研项目（2013JK0605）；陕西省教育科学“十二五”规划课题项目（SGH13406）；商洛学院科研项目 （）
