论文标题
关于常规扩散的双屏障策略的封闭形式的NPV
On the closed-form expected NPVs of double barrier strategies for regular diffusions
论文作者
论文摘要
这项研究的核心是为预期的双屏障策略的预期净现值（NPV）提供明确的表达，以在实际线上定期扩散，而无需求解微分方程。在所谓的救助设置下，保险公司预期的NPV的价值会根据一对保单的选择而有所不同，这些保单包括支付的股息支付和收到的资本注入。在双重屏障策略的情况下，预期的NPV在某些类型的功能的帮助下可以表达，在某些情况下允许明确表达，这在文章中称为双变量$ q $ -scale函数。这是通过利用\ cite {czarna2014dividendend}中的扰动技术来完成的，该技术可能导致线性方程系统。另外，提出了确保存在最佳（上）屏障水平的条件。最后，给出了拟合选择最佳屏障条件的示例。
The core of the research is to provide the explicit expression for the expected net present values (NPVs) of double barrier strategies for regular diffusions on the real line without solving differential equations. Under the so-called bail-out setting, the value of the expected NPVs of an insurance company varies according to the choice of a pair of policies, which consist of dividend payments paid out and capital injections received. In the case of the double barrier strategy, the expected NPVs are expressible with the help of certain types of functions allowing explicit expression in some cases, which is called the bivariate $q$-scale function in the article. This is accomplished by making use of a perturbation technique in \cite{czarna2014dividend}, which could lead to the linear equation system. In addition, a condition ensuring the existence of an optimal (upper) barrier level is presented. In the end, examples fitting the condition for selecting the optimal barrier are given.
