内生机制转换下屏障红利控制的最优性及其在第11章破产中的应用
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
AI总结：
受美国破产法典风险管理进展启发，研究带第11章破产重组与监管干预的De Finetti最优红利问题，推导内生机制转换非标准谱负Levy过程屏障策略现值显式表达式，证明对数凸尾部下最优红利控制为屏障型且可用尺度函数确定。
摘要：
受基于美国破产法典的风险管理最新进展的启发，我们重新审视De Finetti最优红利问题，纳入了第11章破产中记载的重组程序和监管机构干预。由此产生的盈余过程承载着面向更精细破产概念的财务压力，对应一类带内生机制转换的非标准谱负Levy过程。我们利用尺度函数建立了屏障策略下期望现值的若干显式表达式，这是文献中的新结果。借助这些表达式，当Levy测度的尾部为对数凸时，最优红利控制被证明属于屏障类型，且相关的最优屏障可通过谱负Levy过程的尺度函数确定。我们还在一个示例中讨论了若干财务启示。
英文摘要：
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization process and regulator's intervention documented in Chapter 11 bankruptcy. The resulting surplus process, bearing financial stress towards the more subtle concept of bankruptcy, corresponds to a non-standard spectrally negative Levy process with endogenous regime switching. Some explicit expressions of the expected present values under a barrier strategy, new to the literature, are established in terms of scale functions. With the help of these expressions, when the tail of the Levy measure is log-convex, the optimal dividend control is shown to be of the barrier type and the associated optimal barrier can be identified using scale functions of spectrally negative Levy processes. Some financial implications are also discussed in an illustrative example.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
