英文标题：
《A Note on the Optimal Dividends Paid in a Foreign Currency》
---
作者：
Julia Eisenberg, Paul Kr\\\"uhner
---
最新提交年份：
2016
---
英文摘要：
We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are declared or paid in a foreign currency. The currency fluctuation is modelled as a L\\\'evy process. We consider both cases: restricted and unrestricted dividend payments. It turns out that the value function and the optimal strategy can be calculated explicitly.
---
中文摘要：
我们考虑一个被赋予初始资本和盈余过程的保险实体，其模型为带漂移的布朗运动。假设公司寻求最大化以外币宣布或支付的预期贴现股息的累计价值。货币波动被模拟为一个利维过程。我们考虑两种情况：限制性和非限制性股息支付。结果表明，价值函数和最优策略可以显式计算。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--

---
PDF下载：
-->