论文标题
固定交易成本的最佳定期股息策略，用于频谱积极的Lévy风险过程
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
论文作者
论文摘要
我们考虑了一般的积极莱维风险过程的一般类别，这适用于具有连续开支和一次性收益的企业，其时机和大小是随机的。由于在现实生活中无法随时支付股息，我们研究了$ \ textit {prescient} $股息策略，从而根据单独的到达过程做出股息决策。 在本文中，我们调查了固定交易成本对最佳周期性股息策略的影响，并表明当决策时间根据独立的Poisson流程到达时，定期$（B_U，B_L）$策略是最佳的。这样的策略会导致股息股息，只要在股息决策时，盈余就会返回$ b_l $。股息的预期现值（交易成本的净）在规模功能的帮助下明确提供。结果说明了结果。
We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot be paid at any time in real life, we study $\textit{periodic}$ dividend strategies whereby dividend decisions are made according to a separate arrival process. In this paper, we investigate the impact of fixed transaction costs on the optimal periodic dividend strategy, and show that a periodic $(b_u,b_l)$ strategy is optimal when decision times arrive according to an independent Poisson process. Such a strategy leads to lump sum dividends that bring the surplus back to $b_l$ as long as it is no less than $b_u$ at a dividend decision time. The expected present value of dividends (net of transaction costs) is provided explicitly with the help of scale functions. Results are illustrated.
