Spectrally negative L\'evy processes with Parisian reflection below and classical reflection above
Probability
2017-05-12 v3
Abstract
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at independent Poisson times. Namely, we study a version of the reflected process that is pushed up to zero only on Poisson observation times at which the process is below zero. We also study the case with additional classical reflection above so as to model a company that pays dividends according to a barrier strategy. Focusing on the spectrally negative L\'evy case, we compute, using the scale function, various fluctuation identities including capital injections and dividends.
Cite
@article{arxiv.1604.01436,
title = {Spectrally negative L\'evy processes with Parisian reflection below and classical reflection above},
author = {Florin Avram and José Luis Pérez and Kazutoshi Yamazaki},
journal= {arXiv preprint arXiv:1604.01436},
year = {2017}
}