Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model
Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model
复制标题
对偶模型中混合连续和周期性障碍策略的最优性
DOI：
10.1007/s00245-018-9494-9
复制
发表时间：
2019
影响因子：
1.8
通讯作者：
Kazutoshi Yamazaki
中科院分区：
文献类型：
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作者：
Jose-Luis Perez;Kazutoshi Yamazaki
Avanzi等人（ASTIN Bull 46（3）：709-746，2016）最近研究了一个最优股息问题，其中股息定期和连续支付，交易成本不同。在具有泊松周期股息支付机会的布朗模型中，他们表明最优策略是纯连续型、纯周期型或混合障碍型。在本文中，我们将他们之前的研究结果推广到对偶（谱正Lévy）模型。最优策略也是混合屏障型的，可以用尺度函数简明地表示。这些结果通过一系列的数值实验得到证实。
Avanzi et al. (ASTIN Bull 46(3): 709–746, 2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities, they showed that the optimal strategy is either of the pure-continuous, pure-periodic, or hybrid-barrier type. In this paper, we generalize the results of their previous study to the dual (spectrally positive Lévy) model. The optimal strategy is again of the hybrid-barrier type and can be concisely expressed using the scale function. These results are confirmed through a sequence of numerical experiments.