Dividend Problem with Parisian Delay for a Spectrally Negative Levy Risk Process

作者：Czarna Irmina; Palmowski Zbigniew^*

来源：Journal of Optimization Theory and Applications, 2014, 161(1): 239-256.

DOI：10.1007/s10957-013-0283-y

• Levy process
• Ruin probability
• Parisian ruin
• Risk process
• Dividends

In this paper, we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L,vy process (in the absence of dividend payments) when a Parisian delay is applied. An objective function is given by the cumulative discounted dividends received until the moment of ruin, when a so-called barrier strategy is applied. Additionally, we consider two possibilities of a delay. In the first scenario, ruin happens when the surplus process stays below zero longer than a fixed amount of time. In the second case, there is a time lag between the decision of paying dividends and its implementation.

• 出版日期2014-4