Lévy risk model with two-sided jumps and a barrier dividend strategy (Q2427836)

A Lévy risk model is considered, where jumps occur in both directions. The goal is to find the discounted expected value of dividends if a barrier strategy is applied. Using the dualities for the joint distribution of the process and the running maximum (or minimum), the quantities of interest can be expressed alternatively. Some alternative expressions are found under the condition that the upward jumps form a subordinator. Since the expected value has to exist, this means that also the downward jumps form a subordinator. It is verified, that the value function fulfils the smooth pasting condition. Explicit results are then found in the case where the risk process is a Brownian motion with drift plus a compound Poisson jump process with double exponential jumps. It is not surprising, that in this case explicit results are available, since it would be possible to find the value function also by standard arguments (one has explicit expressions for the ladder height distributions). The paper ends by some numerical calculations.