Fluctuations of Omega-killed spectrally negative Lévy processes
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DOI: 10.1016/j.spa.2017.10.018
Abstract: In this paper we solve the exit problems for a (reflected) spectrally negative L\'evy process exponentially killed with killing intensity depending on the present state of the process. We analyze respective resolvents. All identities are… read more here.
Keywords: fluctuations omega; omega killed; evy process; spectrally negative ... See more keywords
On the last exit times for spectrally negative Lévy processes
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DOI: 10.1017/jpr.2017.12
Abstract: Abstract Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and… read more here.
Keywords: spectrally negative; last exit; negative processes; exit times ... See more keywords
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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DOI: 10.1017/jpr.2018.85
Abstract: Abstract De Finetti’s optimal dividend problem has recently been extended to the case when dividend payments can be made only at Poisson arrival times. In this paper we consider the version with bail-outs where the… read more here.
Keywords: spectrally negative; dividend capital; periodic dividend; optimal periodic ... See more keywords
A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
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DOI: 10.1080/03461238.2019.1622592
Abstract: ABSTRACT The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process and on… read more here.
Keywords: spectrally negative; negative markov; time; dividends consumption ... See more keywords
Potential Densities for Taxed Spectrally Negative Lévy Risk Processes
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DOI: 10.3390/risks7030085
Abstract: This paper revisits the spectrally negative Lévy risk process embedded with the general tax structure introduced in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0.… read more here.
Keywords: taxed spectrally; spectrally negative; densities taxed; risk ... See more keywords