Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes

José-Luis Pérez and Kazutoshi Yamazaki
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José-Luis Pérez: Department of Probability and Statistics, Centro de Investigación en Matemáticas A.C. Calle Jalisco s/n. C.P. 36240, Guanajuato, Mexico
Kazutoshi Yamazaki: Department of Mathematics, Faculty of Engineering Science, Kansai University, 3-3-35 Yamate-cho, Suita-shi, Osaka 564-8680, Japan

Risks, 2018, vol. 6, issue 2, 1-39

Abstract: Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value is above it. We also consider the versions with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation identities are computed in terms of the scale functions. Applications in de Finetti’s dividend problems are also discussed.

Keywords: dividends; capital injection; Lévy processes; scale functions; fluctuation theory; excursion theory (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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