Optimization of risk policy and dividends with fixed transaction costs under interest rate

在这份报纸，我们与办理费用为一个金融公司考虑红利优化问题。除红利控制以外，金融公司拿比例的再保险减少风险，剩余在经常的力量挣利息 > 0。因为固定办理费用的存在，这个问题成为一个混合古典推动的随机的控制问题。我们明确地解决这个问题并且和最佳的政策构造价值功能。

In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force p 〉 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy