Spectrally negative Lévy processes with Parisian reflection below and classical reflection above

Florin Avram, José-Luis Pérez and Kazutoshi Yamazaki

Stochastic Processes and their Applications, 2018, vol. 128, issue 1, 255-290

Abstract: We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings, where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at independent Poisson observation times. Namely, we study a version of the reflected process that is pushed up to zero only on Poisson arrival times at which the process is below zero. We also study the case with additional classical reflection above so as to model a company that pays dividends according to a barrier strategy. Focusing on the spectrally negative Lévy case, we compute, using the scale function, various fluctuation identities, including capital injections and dividends.

Keywords: Capital injections; Dividends; Scale functions; Lévy processes; Excursion theory (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:1:p:255-290

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DOI: 10.1016/j.spa.2017.04.013

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