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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: On transaction costs in insurance

Workshop: Concluding Workshop

Time: Wed, December 03, 2008, 10:45-11:15

Speaker: Stefan Thonhauser

Abstract

We consider the classical compound Poisson risk model extended by the
possibility of dividend payments. Each payment will be charged by both
fixed and proportional transaction costs. The performance of an
admissible dividend strategy, within this set up they are impulse
controls, is measured by its total expected discounted utility. We
characterize the value function of the related optimization problem as a
fixed point to a certain optimal stopping operator and as a solution to
the associated quasi-variational inequalities.

Presentation slides (pdf, 159 KB)

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