Economics at your fingertips  

On a spectrally negative Lévy risk process with periodic dividends and capital injections

Hua Dong and Xiaowen Zhou

Statistics & Probability Letters, 2019, vol. 155, issue C, -

Abstract: In this paper, we investigate a spectrally negative Lévy risk model with both dividends and capital injections being made at independent Poisson observation times. Probability generating functions of the number of dividend payments and the number of capital injections are obtained. All the results are expressed in terms of scale functions.

Keywords: Spectrally negative Lévy risk processes; Randomized observation; Barrier dividend strategy; Capital injection; Scale function (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2019.108589

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-05-02
Handle: RePEc:eee:stapro:v:155:y:2019:i:c:16