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1、Insurance:MathematicsandEconomics44(2009)8894ContentslistsavailableatScienceDirectInsurance:MathematicsandEconomicsjournalhomepage:www.elsevier.com/locate/imeOptimalfinancinganddividendcontroloftheinsurancecompanywithfixedandproportionaltransactioncostsL
2、inHea,ZongxiaLiangb,aZhouPei-YuanCenterforAppliedMathematics,TsinghuaUniversity,Beijing100084,ChinabDepartmentofMathematicalSciences,TsinghuaUniversity,Beijing100084,ChinaarticleinfoabstractArticlehistory:Weconsidertheoptimalfinancinganddividendcontrolpr
3、oblemoftheinsurancecompanywithfixedandReceivedJanuary2008proportionaltransactioncosts.Themanagementofthecompanycontrolsthereinsurancerate,dividendsReceivedinrevisedformpayoutaswellastheequityissuanceprocesstomaximizetheexpectedpresentvalueofthedividendsSe
4、ptember2008payoutminustheequityissuanceuntilthetimeofbankruptcy.ThisisthefirsttimethatthefinancingAccepted8October2008processinaninsurancemodelwithtwokindsoftransactioncosts,whichcomefromrealfinancialmarkethasbeenconsidered.Wesolvethemixedclassical-impuls
5、econtrolproblembyconstructingtwocategoriesofsuboptimalmodels,oneistheclassicalmodelwithoutequityissuance,theothernevergoesMSC:primary91B28bankruptbyequityissuance.91B16CrownCopyright'2008PublishedbyElsevierB.V.Allrightsreserved.secondary60H0560H10Keywords
6、:OptimaldividendcontrolOptimalfinancingcontrolProportionalreinsuranceHJBequationFixedtransactioncostClassical-impulsecontrol1.IntroductionMartin-Löf(1983),AsmussenandTaksar(1997)andCadenillasetal.(2006).AsurveycanbefoundinTaksar(2000).Inthispaper,weconsid
7、eraninsurancecompanywiththeHowever,thereareveryfewresultsconcernedwiththeequityissuanceoftheinsurancecompany.Intherealfinancialfixedandtheproportionaltransactioncosts.Inthismodelthemarket,equityissuanceisanimportantapproachfortheinsurancemanagementcontrol
8、sthedividendspayout,equityissuanceandcompanytoearnprofitandreducerisk.HarrisonandTaksar(1983)theriskexposurebyproportionalreinsurancepolicy.Westudyconsidertheoptimalcontrolproblemwithalowerandanupperthevalueofthecom