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dc.contributor.author麦吾鲁代
dc.contributor.author王文元
dc.date.accessioned2018-11-26T08:31:23Z
dc.date.available2018-11-26T08:31:23Z
dc.date.issued2016-08-15
dc.identifier.citation应用概率统计,2016,32(04):50-66
dc.identifier.issn1001-4268
dc.identifier.otherYYGN201604005
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/165245
dc.description.abstract对于一个金融或保险公司而言,寻求最优分红策略和最优分红值函数是一个受到广泛讨论的热点问题.在本文中,我们假设公司面临两类风险:Brownian风险和Poisson风险.公司可以控制其对股东的分红数额和分红时间.为了充分考虑公司经营的安全性,文中定义破产时间为公司盈余水平首次低于线性门槛b+κt的时刻,而非首次低于0的时刻,参见文献[1].本文解决了最大化公司从开始运营直至破产期间总分红折现值的期望的问题.通过求解一个含有二阶微分-积分算子的HJB方程,本文刻画出来了最优的分红值函数和最优的分红策略.结果表明,最优分红策略为线性门槛分红策略.即,当公司的盈余水平低于某线性门槛x_0+κt时,公司不分红;而当公司的盈余水平超过该线性门槛时,超过部分将全部作为红利分出.
dc.description.abstractFor a financial or insurance entity,the problem of finding the optimal dividend distribution strategy and optimal firm value function is a widely discussed topic.In the present paper,it is assumed that the firm faces two types of liquidity risks:a Brownian risk and a Poisson risk.The firm can control the time and amount of dividends paid out to shareholders.By sufficiently taking into account the safety of the company,bankruptcy is said to take place at time t if the cash reserve of the firm runs below the Unear barrier b + κt(not zero),see[1].We deal with the problem of maximizing the expected total discounted dividends paid out until bankruptcy.The optimal dividend return(or,firm value) function is identified as the classical solution of the associated Hamilton-Jacobi-Bellman(HJB) equation where a second-order differential-integro equation is involved.By solving the corresponding HJB equation,the analytical solution of the optimal firm value function is obtained,the optimal dividend strategy is also characterized,which is of linear barrier type:at time t the firm keeps cash inside when the cash reserves level is less than a critical linear barrier χo + κt and pays cash in excess of this linear barrier as dividends.
dc.description.sponsorshipsupported in part by the National Natural Science Foundation of China(11401498);; the Fundamental Research Funds for the Central Universities of China(20720140525)
dc.language.isozh_CN
dc.subject最优分红值函数
dc.subject分红策略
dc.subject线性门槛分红策略
dc.subjectoptimal firm value function
dc.subjectdividend strategy
dc.subjectlinear barrier dividend strategy
dc.title带线性约束条件的跳扩散风险模型中的最优分红策略(英文)
dc.title.alternativeOptimal Dividend Strategy in a Jump-Diffusion Model with a Linear Barrier Constraint
dc.typeArticle


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