On a spectrally negative Lévy risk process with periodic dividends and capital injections

DOI10.1016/J.SPL.2019.108589MaRDI QIDQ2273741zbMATH OpenOpenAlexFDO

Publication date 25 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108589

barrier dividend strategy capital injection randomized observation scale function spectrally negative Lévy risk processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cites work

Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
Exit identities for Lévy processes observed at Poisson arrival times
Fluctuations of Lévy processes with applications. Introductory lectures
Introductory lectures on fluctuations of Lévy processes with applications.
Occupation times of intervals until first passage times for spectrally negative Lévy processes
On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
On Optimal Dividend, Reinvestment, and Liquidation Policies for the Firm
On optimal periodic dividend strategies for Lévy risk processes
On optimal periodic dividend strategies in the dual model with diffusion
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
On pre-exit joint occupation times for spectrally negative Lévy processes
On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments
On the last exit times for spectrally negative Lévy processes
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
On the time and the number of claims when the surplus drops below a certain level
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Optimal dividends and capital injections in the dual model with diffusion
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Randomized onservation periods for the compound Poisson risk model: dividends
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
The optimal dividend barrier in the gamma-omega model
Zero-modified geometric INAR(1) process for modelling count time series with deflation or inflation of zeros

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Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
Spectrally negative Lévy processes with applications in risk theory
Linking dividends and capital injections -- a probabilistic approach
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Dividends with tax and capital injection in a spectrally negative Lévy risk model
Optimal time-consistent social health insurance and private health insurance strategy under a new health insurance framework
Optimal periodic dividends with penalty payments under a diffusion model
Spectrally negative Lévy risk model under ratcheting dividend strategy and capital injections with transaction costs
On occupation times of a spectrally negative Lévy risk process with a mixed dividend strategy
Spectrally negative Lévy risk model under mixed ratcheting-periodic dividend strategies

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