Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
复制标题
DOI：
10.1080/10920277.2006.10596250
复制
发表时间：
2006-04
影响因子：
1.4
通讯作者：
Jun Cai;H. Gerber;Hailiang Yang
中科院分区：
文献类型：
--
作者：
Jun Cai;H. Gerber;Hailiang Yang
摘要在没有投资和红利支付的情况下，盈余可以用布朗运动来描述。但现在假设盈余以不变的信贷利率赚取投资收入。股息是根据障碍战略支付给股东的。证明了如何计算股利的预期贴现价值和最优股利壁垒，Kummer的合流超几何微分方程在这方面起到了关键作用。另一种假设是，企业在破产后可以继续经营，只要它有利可图。当盈余为负值时，适用较高的借记利率。几个数值算例说明了参数对最优股利策略的影响。
Abstract In the absence of investment and dividend payments, the surplus is modeled by a Brownian motion. But now assume that the surplus earns investment income at a constant rate of credit interest. Dividends are paid to the shareholders according to a barrier strategy. It is shown how the expected discounted value of the dividends and the optimal dividend barrier can be calculated; Kummer’s confluent hypergeometric differential equation plays a key role in this context. An alternative assumption is that business can go on after ruin, as long as it is profitable. When the surplus is negative, a higher rate of debit interest is applied. Several numerical examples document the influence of the parameters on the optimal dividend strategy.