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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
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DOI: 10.1016/j.spl.2019.108589

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