英文标题：
《Optimal dividends and capital injection under dividend restrictions》
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作者：
Kristoffer Lindensj\\\"o and Filip Lindskog
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最新提交年份：
2019
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英文摘要：
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the surplus process becomes negative and there are proportional costs for capital injection. We show that one of the following strategies is optimal: (i) Pay dividends and inject capital in order to reflect the surplus process at an upper barrier and at 0, implying bankruptcy never occurs. (ii) Pay dividends in order to reflect the surplus process at an upper barrier and never inject capital --- corresponding to absorption at 0 --- implying bankruptcy occurs the first time the surplus reaches zero. We show that if the costs of capital injection are low, then a sufficiently high dividend payout barrier will change the optimal strategy from type (i) (without bankruptcy) to type (ii) (with bankruptcy). Moreover, if the costs are high, then the optimal strategy is of type (ii) regardless of the dividend payout barrier. The uncontrolled surplus process is a Wiener process with drift.
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中文摘要：
我们研究了一个保险公司所有者面临的奇异随机控制问题，该公司在盈余过程必须高于给定的股利支付障碍的情况下，动态支付股利并筹集资金，以允许股利支付。如果盈余过程变为负值，并且有一定比例的资本注入成本，则会发生破产。我们表明，以下策略之一是最优的：（i）支付股息和注入资本，以反映上壁垒和0时的盈余过程，这意味着永远不会发生破产。（ii）支付股息，以反映上一个障碍的盈余过程，并且从不注入资本——对应于0的吸收——意味着在盈余首次达到零时发生破产。我们表明，如果注资成本较低，那么足够高的股息支付壁垒将使最优策略从（i）型（无破产）变为（ii）型（有破产）。此外，如果成本很高，那么无论股息支付障碍如何，最优策略都属于第（ii）类。非受控剩余过程是一个带漂移的维纳过程。
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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：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
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