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英文标题：
《Bayesian Dividend Optimization and Finite Time Ruin Probabilities》
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作者：
Gunther Leobacher, Michaela Sz\\\"olgyenyi, Stefan Thonhauser
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最新提交年份：
2016
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英文摘要：
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant and observable volatility and constant but unknown drift parameter. For transforming the problem to a problem with complete information, we derive a suitable filter. The optimal value function is characterized as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. We state a numerical procedure for approximating both the optimal dividend strategy and the corresponding value function. Furthermore, threshold strategies are discussed in some detail. Finally, we calculate the probability of ruin in the uncontrolled and controlled situation.
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中文摘要：
我们考虑了部分信息下保险公司的估值问题。因此，我们使用最大化贴现未来股息支付的概念。公司价值过程由一个具有常数和可观测波动率以及常数但未知漂移参数的扩散模型描述。为了将问题转化为具有完整信息的问题，我们推导了一个合适的过滤器。最优值函数的特征是关联的Hamilton-Jacobi-Bellman方程的唯一粘性解。我们陈述了一个数值过程来逼近最优红利策略和相应的价值函数。此外，还详细讨论了阈值策略。最后，我们计算了非受控和受控情况下的破产概率。
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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
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