摘要翻译：
本文研究了盈余过程演化为谱正Levy过程的公司的最优股利问题。该模型包括经典风险模型的对偶模型和以扩散为特例的对偶模型。我们假设股利是按照股利率为常数的可容许策略支付给股东的。目标是寻找一个股利政策，使股利的预期折现值最大化，直到公司破产为止。我们证明了最优股利策略是由一个阈值策略形成的。
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英文标题：
《On the optimal dividend problem for a spectrally positive Levy process》
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作者：
Chuancun Yin, Yuzhen Wen, Yongxia Zhao
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最新提交年份：
2014
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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：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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英文摘要：
  In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to admissible strategy whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that the optimal dividend strategy is formed by a threshold strategy.
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PDF链接：
https://arxiv.org/pdf/1302.2231