标题： 具有破产时间约束的单边跳跃Lévy过程最优股息问题 显示英文标题

标题： A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes

摘要： 我们通过在经典最优分红问题中添加对公司破产时间的约束，引入了一个长寿特征。 我们将结果扩展到 \cite{HJ15}，现在是在单边Lévy风险模型的背景下。 我们考虑了在有和没有固定交易成本（例如税收）的两种情况下De Finetti的问题。 我们还研究了所谓的对偶模型的约束类似问题。 为了表征上述模型的解，我们引入了对偶问题，并证明了互补松弛条件得到满足，因此不存在对偶间隙。 作为结果，最优值函数可以作为由拉格朗日乘数索引的辅助值函数的逐点下确界获得。 最后，我们通过一系列数值例子来说明我们的发现。 显示英文摘要

摘要： We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de Finetti's problem in both scenarios with and without fix transaction costs, e.g. taxes. We also study the constrained analog to the so called Dual model. To characterize the solution to the aforementioned models we introduce the dual problem and show that the complementary slackness conditions are satisfied and therefore there is no duality gap. As a consequence the optimal value function can be obtained as the pointwise infimum of auxiliary value functions indexed by Lagrange multipliers. Finally, we illustrate our findings with a series of numerical examples.