A drawdown reflected spectrally negative Lévy process

DOI10.1007/s10959-019-00971-4zbMath1469.60151arXiv1812.06923OpenAlexW3003808250MaRDI QIDQ2224959

Wenyuan Wang, Xiao-Wen 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 processexcursion theoryreflected processpotential measurespectrally negative Lévy processcapital injectiondrawdown time

Mathematics Subject Classification ID

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

Related Items (7)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

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