文章基本信息

标题：Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes
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作者：Pérez, José-Luis ; Yamazaki, Kazutoshi
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2018
卷号：6
期号：2
页码：1-39
出版社：MDPI, Open Access Journal
摘要：Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value 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 functions. Applications in de Finetti’s dividend problems are also discussed.
关键词：dividends; capital injection; Lévy processes; scale functions; fluctuation theory; excursion theory