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- W2008613519 abstract "In this paper we study the optimal excess-of-loss reinsurance and dividend strategy for maximizing the expected total discounted dividends received by shareholders until ruin time. Transaction costs and taxes are required when dividends occur. The problem is formulated as a stochastic impulse control problem. By solving the corresponding quasi-variational inequality, we obtain analytical solutions for the optimal return function and the optimal strategy." @default.
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- W2008613519 date "2010-12-01" @default.
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- W2008613519 title "Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes" @default.
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- W2008613519 doi "https://doi.org/10.1080/14697680902968005" @default.
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