谱正Lévy过程下的Ratchet分红策略与Barrier策略的混合研究  

Mixed Research on Ratchet Dividend Strategy and Barrier Strategy under Positive Lévy Process

作　　者：刘海晓 吕玉华 

机构地区：[1]曲阜师范大学统计学院,山东 曲阜

出　　处：《应用数学进展》2021年第11期3687-3692,共6页Advances in Applied Mathematics

摘　　要：本文主要研究谱正Lévy过程下的混合分红策略。对公司的盈余过程进行如下两种策略的混合:首先让其执行Ratchet分红策略;而后待盈余水平到达预先设置的高度界限时,立即执行Barrier分红策略,将所有投资收益全部分红给公司股东。文章主要结果是得出了这种混合策略下的累积折现期望分红值函数。This paper mainly studies the mixed dividend strategy under the positive Lévy process. The earnings process of the company is a mix of the following two strategies: First let them execute the Ratchet dividend strategy. And then execute the Barrier dividend strategy immediately after the surplus level reaches the preset high limit. Distribute all investment income to the shareholders of the company. Finally, the cumulative discounted expected dividend value function under the mixed strategy is obtained.

关 键 词：谱正Lévy过程 Ratchet策略 Barrier策略 分红值函数 分红率 

分 类 号：F83[经济管理—金融学]