A FREE BOUNDARY PROBLEM OF LIQUIDITY MANAGEMENT FOR OPTIMAL DIVIDEND AND INSURANCE IN FINITE HORIZON

Chen, XS; Guan, CH; Yi, FH

Guan, CH (corresponding author), Jiaying Univ, Dept Math, Meizhou 514015, Peoples R China.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021; 59 (4): 2524

Abstract

In this paper, we devote our attention to the liquidity and risk management of a firm who faces two types of risks: a Poisson risk that can be insured......

Full Text Link