ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
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DOI：
10.1017/asb.2014.12
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发表时间：
2013-02
期刊：
影响因子：
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通讯作者：
C. Yin;Yuzhen Wen;Yongxia Zhao
中科院分区：
文献类型：
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作者：
C. Yin;Yuzhen Wen;Yongxia Zhao
摘要本文研究了一类公司的最优股利问题，在扣除股利之前，公司的盈余过程是一个谱正的Lévy过程。该模型包括经典风险模型的对偶模型和以扩散为特例的对偶模型。我们假设股利支付给股东根据一个容许的策略，其股息率是有界的常数。其目标是找到一个股利政策，以最大限度地提高预期的折现值的股息支付给股东，直到公司破产。我们证明了最优股利策略是由一个阈值策略形成的。
Abstract In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Lévy process before dividends are deducted. This model includes the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to an admissible strategy whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that the optimal dividend strategy is formed by a threshold strategy.