考虑破产惩罚的对偶风险模型的最优控制

Optimal Asset Control of the Dual Model with a Penalty at Ruin

中文关键词:  对偶风险模型  最优分红  最优融资  破产时刻  比例交易成本

英文关键词:dual model  optimal dividend control  equity issuance  time value of ruin  proportional transaction costs

中文摘要:

      本文主要研究对偶风险模型的最优控制问题. 为了考虑破产对保险公司(金融机构)的影响, 我们在构造价值函数的过程中引入了一个变量来测度破产对公司盈利的影响. 为了求得最优的控制策略, 我们首先研究了两类带有约束的优化问题. 基于这些带约束优化问题的解, 我们给出了无约束的最优策略.

英文摘要:

      In this paper, we study the optimal financing problem in the dual model. We introduce a value function which considers both the expected present value of the dividends payout minus the equity issuance and a penalty at ruin. In order to get the optimal strategy, two categories of suboptimal models are constructed and studied. Based on these two suboptimal models, we identify the value function and the optimal strategy in the general optimal problem.