具有时间不一致性偏好的扩散对偶模型的最优分红与注资问题（英文）  

Optimal Dividend and Capital Injection Problems in the Dual Diffusion Model with Time-inconsistent Preferences

作　　者：王晓繁 马世霞[1] Wang Xiaofan, Ma Shixia(School of Sciences, Hebei University of Technology, Tianjin 300401, Chin)

机构地区：[1]河北工业大学理学院,天津300401

出　　处：《南开大学学报（自然科学版）》2018年第1期79-90,共12页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by NSFC(11301133,11471218);the NSF of Hebei province(A2014202236,A2014202052)

摘　　要：研究了带扩散的对偶模型中具有时间不一致性偏好的最优分红和注资问题,并假设管理者的这种时间不一致性偏好由准双曲贴现函数刻画.假设有比例交易费用,且可通过注资阻止破产发生,目标是使分红减去注资的累积现值期望最大化.当收益服从指数分布时,得到了最优策略及最优值函数的解析式,并且发现具有时间不一致性偏好的管理者更倾向于提前分红.The optimal dividend and capital injection problems in a dual risk model with diffusion when the manager has time-inconsistent preferences are studied. And the manager＇s preferences are described by a quasi-hyperbolic discount function. Assuming proportional transaction costs and capital injection is permitted to prevent the company from going bankrupt, the objective is to maximize the expected present value of the dividends minus the costs of capital injections. When the profits follow an exponential distribution,the optimal strategies and the explicit solutions are obtained. There is an interesting discovery that the managers with time-inconsistent preferences are present-biased, that is, they tend to pay out dividends earlier than the managers with time-consistent preferences.

关 键 词：时间不一致性 对偶风险模型 扩散 分红与注资 准双曲贴现函数 

分 类 号：O211.6[理学—概率论与数理统计]