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math.OC2026
Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem
Wenyuan Wang, Zuo Quan Xu, Kaixin Yan
We consider a problem of optimal proportional reinsurance-dividend distribution under a Brownian risk model, where both the drift and volatility coefficients are subject to endogen…
math.OC2024
Value Maximization under Stochastic Quasi-Hyperbolic Discounting
Kaixin Yan, Wenyuan Wang, Jinxia Zhu
We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention…
math.OC2023
De Finetti's Poissonian Dividend Control Problem under Spectrally Positive Markov Additive Process
Lijun Bo, Wenyuan Wang, Kaixin Yan
We study a De Finetti's optimal dividend and capital injection problem under a Markov additive model. The surplus process without dividend and capital injection is assumed to follo…