Mixed Periodic-classical barrier strategies for L\'evy risk processes

José-Luis Pérez; Kazutoshi Yamazaki

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arXiv · 1609.01671

Mixed Periodic-classical barrier strategies for L\'evy risk processes

José-Luis Pérez·Kazutoshi Yamazaki

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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.

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José-Luis Pérez, Kazutoshi Yamazaki. 2016-09-06. Mixed Periodic-classical barrier strategies for L\'evy risk processes. https://arxiv.org/abs/1609.01671

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