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

作　　者：王文元 明瑞星 胡亦钧 Wenyuan WANG;Ruixing MING;Yijun HU(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)

机构地区：[1]School of Mathematics and Statistics,Fujian Normal University,Fuzhou,350007,China [2]School of Mathematical Sciences,Xiamen University,Xiamen,361005,China [3]School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou,310018,China [4]School of Mathematics and Statistics,Wuhan University,Wuhan,430071,China

出　　处：《Acta Mathematica Scientia》2024年第1期215-233,共19页数学物理学报（B辑英文版）

基　　金：the financial support from the National Natural Science Foundation of China(12171405 and 11661074);the Program for New Century Excellent Talents in Fujian Province University;the financial support from the Characteristic&Preponderant Discipline of Key Construction Universities in Zhejiang Province(Zhejiang Gongshang University-Statistics);Collaborative Innovation Center of Statistical Data Engineering Technology&Application;Digital+Discipline Construction Project(SZJ2022B004)。

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 account 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 values 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.

关 键 词：spectrally negative Lévy process Chapter 11 bankruptcy De Finetti's dividend problem double barrier strategy impulse control 

分 类 号：F271[经济管理—企业管理] O232[经济管理—国民经济]