具有分红、流动储备金和利率的风险模型的绝对破产

全球金融监管倡导激励相容，强调金融机构自身目标与监管者目标协调一致。在分析中国银行业资本监管新规激励相容特征的基础上，对商业银行“三性”目标与监管机构目标的激励相容程度进行测算，运用GMM方法对资本监管目标与商业银行目标模型进行检验，发现资本监管目标与商业银行盈利性目标并不冲突，而且银行自身持有资本的意愿能够降低风险行为,但是资本充足率监管对于流动性的影响并不显著。可见，当前中国银行业资本监管整体上具有激励相容特性，但在流动性和风险性方面激励程度有待加强。

A Risk Model with Credit and Debit Interests, Liquid Reserves and Dividends Under Absolute Ruin

This paper studied the compound Poisson risk model with liquid reserves, credit interest and debit interest in the presence of a threshold dividend strategy. By the total law of probability and Taylor''s expansion, we first obtained the integro-differential equations with boundary conditions satisfying the Gerber-Shiu function and presented the closed form expressions for the Gerber-Shiu function. Secondly, we derived the integro-differential equations with boundary conditions satisfying the expected discounted present value of all dividends until absolute ruin by employing Volterra equations.