Mixed Periodic-classical barrier strategies for L\'evy risk processes
Probability
2018-01-11 v2
Abstract
Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation identities are computed in terms of the scale function. Applications in de Finetti's dividend problems are also discussed.
Keywords
Cite
@article{arxiv.1609.01671,
title = {Mixed Periodic-classical barrier strategies for L\'evy risk processes},
author = {José-Luis Pérez and Kazutoshi Yamazaki},
journal= {arXiv preprint arXiv:1609.01671},
year = {2018}
}