Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process

Irmina Czarna and Zbigniew Palmowski ()
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Irmina Czarna: University of Wrocław
Zbigniew Palmowski: University of Wrocław

Journal of Optimization Theory and Applications, 2014, vol. 161, issue 1, No 13, 239-256

Abstract: Abstract In this paper, we consider dividend problem for an insurance company whose risk evolves as a spectrally negative Lévy process (in the absence of dividend payments) when a Parisian delay is applied. An objective function is given by the cumulative discounted dividends received until the moment of ruin, when a so-called barrier strategy is applied. Additionally, we consider two possibilities of a delay. In the first scenario, ruin happens when the surplus process stays below zero longer than a fixed amount of time. In the second case, there is a time lag between the decision of paying dividends and its implementation.

Keywords: Lévy process; Ruin probability; Parisian ruin; Risk process; Dividends (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (12)

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DOI: 10.1007/s10957-013-0283-y

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