TY - JOUR
ID - 594
TI - Optimal asset control of the diffusion model under consideration of the time value of ruin
JO - Bulletin of the Iranian Mathematical Society
JA - BIMS
LA - en
SN - 1017-060X
AU - Dai, H.
AU - Tang, C.
AD - Guangxi University
AD - Guangxi University of Finance and Economics
Y1 - 2015
PY - 2015
VL - 41
IS - 1
SP - 141
EP - 158
KW - Optimal dividend control
KW - optimal financing
control
KW - time value of ruin
DO -
N2 - In this paper, we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity. We assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model. It is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of bankruptcy. We study this problem under consideration of the time value of ruin. By constructing two categories of suboptimal models, one with classical model without equity issuance, and the other which never goes bankrupt by equity issuance, the optimal problem is addressed. At the end, some numerical examples and interesting economic interpretations are presented.
UR - http://bims.iranjournals.ir/article_594.html
L1 - http://bims.iranjournals.ir/article_594_47a7d6a93e62f77f04be6701ab83e08a.pdf
ER -