英文标题：
《Asymptotic Analysis for Optimal Dividends in a Dual Risk Model》
---
作者：
Arash Fahim, Lingjiong Zhu
---
最新提交年份：
2016
---
英文摘要：
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form solutions except in some special cases. In this paper, we study the asymptotics of the optimal dividends problem when the parameters of the model go to either zero or infinity. Our results provide insights to the optimal strategies and the optimal values when the parameters are extreme.
---
中文摘要：
双重风险模型是金融和保险领域的一种流行模型，通常被用来模拟风险投资或高科技公司的财富过程。双风险模型的最优红利在文献中得到了广泛的研究。众所周知，这个最优控制问题的值函数不产生封闭形式的解，除非在某些特殊情况下。本文研究了当模型参数为零或无穷大时，最优红利问题的渐近性。我们的结果为参数极端时的最优策略和最优值提供了见解。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->