摘要翻译：
本文考虑了当存在巴黎延迟时，风险演化为谱负L{e}vy过程的保险公司的股利问题（在没有股利支付的情况下）。目标函数由截止到破产时刻的累积贴现股利给出，当采用所谓的障碍策略时。另外，我们将考虑延迟的两种可能性。在第一个场景中，当剩余过程保持在零以下的时间超过固定时间$\Zeta>0$时，就会发生破产。在第二种情况下，在决定支付股息和执行股息之间有一个时间滞后。
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英文标题：
《Dividend problem with Parisian delay for a spectrally negative L\'evy
  risk process》
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作者：
Irmina Czarna and Zbigniew Palmowski
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最新提交年份：
2011
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分类信息：

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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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：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by the cumulative discounted dividends received until the moment of ruin when so-called barrier strategy is applied. Additionally we will consider two possibilities of delay. In the first scenario ruin happens when the surplus process stays below zero longer than fixed amount of time $\zeta>0$. In the second case there is a time lag $d$ between decision of paying dividends and its implementation.
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PDF链接：
https://arxiv.org/pdf/1004.3310