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Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes

Author

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  • José-Luis Pérez

    (Department of Probability and Statistics, Centro de Investigación en Matemáticas A.C. Calle Jalisco s/n. C.P. 36240, Guanajuato, Mexico)

  • Kazutoshi Yamazaki

    (Department of Mathematics, Faculty of Engineering Science, Kansai University, 3-3-35 Yamate-cho, Suita-shi, Osaka 564-8680, Japan)

Abstract

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.

Suggested Citation

  • José-Luis Pérez & Kazutoshi Yamazaki, 2018. "Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes," Risks, MDPI, vol. 6(2), pages 1-39, April.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:2:p:33-:d:139765
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    References listed on IDEAS

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    1. Avanzi, Benjamin & Cheung, Eric C.K. & Wong, Bernard & Woo, Jae-Kyung, 2013. "On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 98-113.
    2. Jos'e-Luis P'erez & Kazutoshi Yamazaki, 2016. "Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities," Papers 1612.02444, arXiv.org, revised Jan 2018.
    3. Avanzi, Benjamin & Tu, Vincent & Wong, Bernard, 2016. "On The Interface Between Optimal Periodic And Continuous Dividend Strategies In The Presence Of Transaction Costs," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 709-746, September.
    4. Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi & Yano, Kouji, 2018. "On optimal periodic dividend strategies for Lévy risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 29-44.
    5. Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
    6. Avanzi, Benjamin & Tu, Vincent & Wong, Bernard, 2014. "On optimal periodic dividend strategies in the dual model with diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 210-224.
    7. Albrecher, Hansjörg & Cheung, Eric C.K. & Thonhauser, Stefan, 2011. "Randomized Observation Periods for the Compound Poisson Risk Model: Dividends," ASTIN Bulletin, Cambridge University Press, vol. 41(2), pages 645-672, November.
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    Cited by:

    1. Jos'e-Luis P'erez & Kazutoshi Yamazaki, 2023. "L\'evy bandits under Poissonian decision times," Papers 2301.07798, arXiv.org.
    2. Avanzi, Benjamin & Lau, Hayden & Wong, Bernard, 2020. "Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 315-332.
    3. Benjamin Avanzi & Hayden Lau & Bernard Wong, 2020. "Optimal periodic dividend strategies for spectrally positive L\'evy risk processes with fixed transaction costs," Papers 2003.13275, arXiv.org, revised May 2020.
    4. Benjamin Avanzi & Hayden Lau & Bernard Wong, 2020. "Optimal periodic dividend strategies for spectrally negative L\'evy processes with fixed transaction costs," Papers 2004.01838, arXiv.org, revised Dec 2020.
    5. Dong, Hua & Zhou, Xiaowen, 2019. "On a spectrally negative Lévy risk process with periodic dividends and capital injections," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    6. Benjamin Avanzi & Hayden Lau & Bernard Wong, 2020. "On the optimality of joint periodic and extraordinary dividend strategies," Papers 2006.00717, arXiv.org, revised Dec 2020.
    7. Avanzi, Benjamin & Lau, Hayden & Wong, Bernard, 2021. "On the optimality of joint periodic and extraordinary dividend strategies," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1189-1210.

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