英文标题：
《On optimal periodic dividend strategies for L\\\'evy risk processes》
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作者：
Kei Noba, Jos\\\'e-Luis P\\\'erez, Kazutoshi Yamazaki, Kouji Yano
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最新提交年份：
2018
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英文摘要：
In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive L\\\'evy) model, recent results have shown the optimality of a periodic barrier strategy, which pays dividends at Poissonian dividend-decision times, if and only if the surplus is above some level. In this paper, we show the optimality of this strategy for a spectrally negative L\\\'evy process whose dual has a completely monotone L\\\'evy density. The optimal strategies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.
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中文摘要：
在本文中，我们重新讨论了最优周期红利问题，其中红利支付只能在独立泊松过程的跳跃时间进行。在双重（光谱正L拞evy）模型中，最近的结果显示了周期性障碍策略的最优性，当且仅当盈余高于某个水平时，该策略在泊松红利决策时间支付红利。在本文中，我们证明了此策略对于一个具有完全单调Levy密度的谱负Levy过程的最优性。最优策略和价值函数用尺度函数简洁地表示。还提供了数值结果。
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分类信息：

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
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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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
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