Mixed periodic-classical barrier strategies for Lévy risk processes

José-Luis Pérez and Kazutoshi Yamazaki

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.

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Year of publication:	June 2018
Authors:	Pérez, José-Luis ; Yamazaki, Kazutoshi
Subject:	dividends \| capital injection \| Lévy processes \| scale functions \| fluctuation theory \| excursion theory \| Stochastischer Prozess \| Stochastic process \| Dividende \| Dividend \| Optionspreistheorie \| Option pricing theory \| Portfolio-Management \| Portfolio selection \| Risiko \| Risk

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