论文标题
关于在偿付能力要求的情况下具有资产和负债的资金的盈余管理
On the surplus management of funds with assets and liabilities in presence of solvency requirements
论文作者
论文摘要
在本文中，我们考虑了一家公司，其资产和负债根据相关的双变量几何运动（例如Gerber and Shiu（2003）中）而发展。我们确定哪种股息策略最大化了股息的预期价值，直到两种情况下破坏为止：（i）当股东无法涵盖剩余的短缺时，并且强加于Paulsen，2003年的偿付能力约束（如Paulsen，2003年）。在后一种情况下，废墟将永远不会发生，目的是最大程度地提高股息和资本注射之间的差异。 开发和使用适当的验证引理，我们表明，在这两种情况下，最佳的股息策略都是障碍类型。这两个值函数均以封闭形式得出。此外，障碍是根据资产与负债比率定义的，这些障碍与保险公司可以在实践中可以观察到的一些股息策略。显示了最佳策略的存在和独特性。结果说明了结果。
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determine what dividend strategy maximises the expected present value of dividends until ruin in two cases: (i) when shareholders won't cover surplus shortfalls and a solvency constraint (as in Paulsen, 2003) is consequently imposed, and (ii) when shareholders are always to fund any capital deficiency with capital (asset) injections. In the latter case, ruin will never occur and the objective is to maximise the difference between dividends and capital injections. Developing and using appropriate verification lemmas, we show that the optimal dividend strategy is, in both cases, of barrier type. Both value functions are derived in closed form. Furthermore, the barrier is defined on the ratio of assets to liabilities, which mimics some of the dividend strategies that can be observed in practice by insurance companies. Existence and uniqueness of the optimal strategies are shown. Results are illustrated.
