A drawdown reflected spectrally negative Lévy process

DOI10.1007/S10959-019-00971-4MaRDI QIDQ2224959zbMATH OpenOpenAlexFDO

Authors Wenyuan Wang, Xiaowen Zhou

Publication date 4 February 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.06923

zbMATH Keywords

risk processreflected processexcursion theorycapital injectionpotential measuredrawdown timespectrally negative Lévy process

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Transition functions, generators and resolvents (60J35)

Abstract: In this paper we study a spectrally negative L'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we find the Laplace transform of the upper exiting time and an expression of the associated potential measure. When the reflected process is identified as a risk process with capital injections, the expected total amount of discounted capital injections prior to the exiting time and the Laplace transform of the accumulated capital injections until the exiting time are also obtained. The results are expressed in terms of scale functions for spectrally negative L'{e}vy processes.

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Cited in

(15)

• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• On future drawdowns of Lévy processes
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
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• Dividend and capital injection optimization with transaction cost for Lévy risk processes
• A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
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• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Valuing equity-linked annuities under high-water mark fee structure

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