论文标题
最佳的定期股息策略，用于固定交易成本的光谱负面流程
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
论文作者
论文摘要
最大化股息是精算风险理论中的一个经典稳定标准。由于股息是在现实生活中定期支付的，最近引入了$ \ textit {priveit} $股息策略的动机（Albrecher，Gerber和Shiu，2011年）。在本文中，我们将固定的交易成本纳入模型中，并研究最佳的周期性股息策略，并使用固定的交易成本，用于频谱负面的莱维过程。 定期$（b_u，b_l）$策略的价值函数是通过退出身份的方式计算出来的，当剩余过程无限制变化时，ITô的借口就可以计算出来。我们表明，最佳状态的充分条件是，Lévy措施允许完全单调的密度。在此类假设下，确认定期$（B_U，B_L）$策略是最佳的。 结果说明了结果。
Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerber and Shiu, 2011). In this paper, we incorporate fixed transaction costs into the model and study the optimal periodic dividend strategy with fixed transaction costs for spectrally negative Lévy processes. The value function of a periodic $(b_u,b_l)$ strategy is calculated by means of exiting identities and Itô's excusion when the surplus process is of unbounded variation. We show that a sufficient condition for optimality is that the Lévy measure admits a density which is completely monotonic. Under such assumptions, a periodic $(b_u,b_l)$ strategy is confirmed to be optimal. Results are illustrated.
