Spectrally negative Lévy risk model under mixed ratcheting-periodic dividend strategies
نویسندگان
چکیده
In this paper, we consider the mixed ratcheting-periodic dividend strategies for spectrally negative L\'{e}vy risk model, in which payments can both be made continuously without falling and discretely at jump times of an independent Poisson process. The expected net present value(NPV) dividends paid up to ruin Laplace transform time are obtained by using fluctuation theory. All results expressed terms scale functions. Finally, numerical Brownian motion with drift given.
منابع مشابه
Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
In the last few years there has been renewed interest in the classical control problem of de Finetti [10] for the case that underlying source of randomness is a spectrally negative Lévy process. In particular a significant step forward is made in [25] where it is shown that a natural and very general condition on the underlying Lévy process which allows one to proceed with the analysis of the a...
متن کاملImportance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
This article provides importance sampling algorithms for computing the probabilities of various types ruin of spectrally negative Lévy risk processes, which are ruin over the infinite time horizon, ruin within a finite time horizon and ruin past a finite time horizon. For the special case of the compound Poisson process perturbed by diffusion, algorithms for computing probabilities of ruins by ...
متن کاملDe Finetti’s Optimal Dividends Problem with an Affine Penalty Function at Ruin
In a Lévy insurance risk model, under the assumption that the tail of the Lévy measure is log-convex, we show that either a horizontal barrier strategy or the take-the-money-and-run strategy maximizes, among all admissible strategies, the dividend payments subject to an affine penalty function at ruin. As a key step for the proof, we prove that, under the aforementioned condition on the jump me...
متن کاملDividend Strategies for Insurance risk models
Based on different objectives, various insurance risk models with adaptive polices have been proposed, such as dividend model, tax model, model with credibility premium, and so on. In this report, we will only focus the study on dividend strategies. Here are some reasons why the dividend strategy is of interest. For an insurance company, ruin occurs when a claim size is greater than its reserve...
متن کاملLévy Walks Suboptimal under Predation Risk
A key challenge in movement ecology is to understand how animals move in nature. Previous studies have predicted that animals should perform a special class of random walks, called Lévy walk, to obtain more targets. However, some empirical studies did not support this hypothesis, and the relationship between search strategy and ecological factors is still unclear. We focused on ecological facto...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2022
ISSN: ['0361-0918', '1532-4141']
DOI: https://doi.org/10.1080/03610918.2022.2099555