ON DE FINETTI'S OPTIMAL IMPULSE DIVIDEND CONTROL PROBLEM UNDER CHAPTER 11 BANKRUPTCY

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外文摘要：Motivated by recent advances made in the study of dividend control and risk management problems involving the U.S.bankruptcy code,in this paper we follow[44]to revisit the De Finetti dividend control problem under the reorganization process and the regulator's intervention documented in U.S.Chapter 11 bankruptcy.We do this by further accommodating the fixed transaction costs on dividends to imitate the real-world procedure of dividend payments.Incorporating the fixed transaction costs transforms the targeting optimal dividend problem into an impulse control problem rather than a singular control problem,and hence computations and proofs that are distinct from[44]are needed.To ac-count for the financial stress that is due to the more subtle concept of Chapter 11 bankruptcy,the surplus process after dividends is driven by a piece-wise spectrally negative Lévy process with endogenous regime switching.Some explicit expressions of the expected net present val-ues under a double barrier dividend strategy,new to the literature,are established in terms of scale functions.With the help of these expressions,we are able to characterize the optimal strategy among the set of admissible double barrier dividend strategies.When the tail of the Lévy measure is log-convex,this optimal double barrier dividend strategy is then verified as the optimal dividend strategy,solving our optimal impulse control problem.

外文关键词：

spectrally negative Lévy processChapter 11 bankruptcyDe Finetti's dividend problemdouble barrier strategyimpulse control

作者：

王文元、明瑞星、胡亦钧

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作者单位：

School of Mathematics and Statistics,Fujian Normal University,Fuzhou 350007,China

School of Mathematical Sciences,Xiamen University,Xiamen 361005,China

School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou 310018,China

School of Mathematics and Statistics,Wuhan University,Wuhan 430071,China

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基金：

国家自然科学基金国家自然科学基金Program for New Century Excellent Talents in Fujian Province UniversityCharacteristic & Preponderant Discipline of Key Construction Universities in Zhejiang Province(Zhejiang Gongshang UniversityCollaborative Innovation Center of Statistical Data Engineering Technology& Application,Digital+Discipline Construction Project

项目编号：

1217140511661074SZJ2022B004

出版年：

2024

DOI：

10.1007/s10473-024-0112-4

数学物理学报(英文版)

中科院武汉物理与数学研究所

数学物理学报(英文版)

CSTPCD

影响因子：0.256

ISSN：0252-9602

年,卷(期)：2024.44(1)

参考文献量46