On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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DOI：
10.1017/jpr.2018.85
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发表时间：
2017-12
影响因子：
1
通讯作者：
Kei Noba;José-Luis Pérez;K. Yamazaki;K. Yano
中科院分区：
文献类型：
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作者：
Kei Noba;José-Luis Pérez;K. Yamazaki;K. Yano
摘要 De Finetti 的最优股息问题最近已扩展到只能在泊松到达时间支付股息的情况。在本文中，我们考虑带有救助的版本，其中盈余必须在时间上一致非负。对于一般的光谱负 Lévy 模型，我们展示了巴黎经典反射策略的最优性，该策略在每个泊松到达时间支付高于给定障碍的超出部分，并在经典意义上从低于 0 进行反射。
Abstract De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the version with bail-outs where the surplus must be nonnegative uniformly in time. For a general spectrally negative Lévy model, we show the optimality of a Parisian-classical reflection strategy that pays the excess above a given barrier at each Poisson arrival time and also reflects from below at 0 in the classical sense.