论文标题
关于救助股息问题，以及频谱负面额外的股息付款
On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
论文作者
论文摘要
本文研究了救助最佳股息问题，该政权在限制下切换，即只有在独立泊松过程的到达时间才能进行股息支付，而资本可以及时地注入。当基础风险模型遵循一般频谱负面的马尔可夫添加剂过程时，我们显示了政权调制的巴黎古典反思策略的最佳性。为了验证最佳性，首先，我们研究一个辅助问题，该辅助问题是由单个频谱负\ lev过程驱动的，并在指数终端时间获得最终的回报，并表征了最佳股息策略。然后，我们使用动态编程原理将全局制度转换问题转换为同等的本地优化问题，最终的回报最多可直至第一个制度切换时间。可以通过使用辅助问题的结果和通过递归迭代来证明政权调制的巴黎古典屏障策略的最佳性。
This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in time. We show the optimality of the regime-modulated Parisian-classical reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. In order to verify the optimality, first we study an auxiliary problem driven by a single spectrally negative \lev process with a final payoff at an exponential terminal time and characterise the optimal dividend strategy. Then, we use the dynamic programming principle to transform the global regime-switching problem into an equivalent local optimization problem with a final payoff up to the first regime switching time. The optimality of the regime modulated Parisian-classical barrier strategy can be proven by using the results from the auxiliary problem and approximations via recursive iterations.
