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

DOI10.1016/j.spl.2019.108589zbMath1425.91221OpenAlexW2969767056MaRDI QIDQ2273741

Hua Dong, Xiao-Wen Zhou

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

zbMATH Keywords

scale functioncapital injectionrandomized observationbarrier dividend strategyspectrally negative Lévy risk processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (3)

Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ 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

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