关于带罚金的最优分红的研究（英文）

On research about optimal dividends with penalty payments

在带扰动的对偶风险模型下,该文考虑了带罚金的最优分红问题.与经典模型相反,假设即使盈余为负,保险公司也不会破产,而是根据当前盈余的水平支付罚金.随后,发现最优分红策略是Barrier策略,并且在线性罚金的情况下得到了值函数的解析表达式.

Contrary to classical models,we assume that the insurance company does not go out of business even if the surplus becomes negative.But penalty payments occur depending on the level of the current surplus.Subsequently,we find the optimal dividend strategy is a barrier strategy and derive the closed-form solution for the value function when considering linearly penalty payments.