New Management Science Findings from Southeast University Described (Optimal Reinsurance-investment and Dividends Problem With Fixed Transaction Costs)

2021 FEB 25 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily -- Investigators publish new report on Science - Management Science. According to news reporting originating from Jiangsu, People’s Republic of China, by NewsRx correspondents, research stated, “In this paper, we consider the dividend optimization problem for a financial corporation with fixed transaction costs.”

Funders for this research include National Natural Science Foundation of China (NSFC), Southern University of Science and Technology Start up fund.

Our news editors obtained a quote from the research from Southeast University, “Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and invests its reserve in a financial market consisting of a risk-free asset (bond) and a risky asset (stock). Because of the presence of the fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem.”

According to the news editors, the research concluded: “We solve this problem explicitly and construct the value function together with the optimal policy.”

This research has been peer-reviewed.

For more information on this research see: Optimal Reinsurance-investment and Dividends Problem With Fixed Transaction Costs. Journal of Industrial & Management Optimization, 2021;17(2):981-999. Journal of Industrial & Management Optimization can be contacted at: Amer Inst Mathematical Sciences-aims, PO Box 2604, Springfield, MO 65801-2604, USA.

The news editors report that additional information may be obtained by contacting Xin Zhang, Southeast University, School of Mathematics, Nanjing 211189, Jiangsu, People’s Republic of China. Additional authors for this research include Jie Xiong and Shuaiqi Zhang.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.3934/jimo.2020008. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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