Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195825 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-39
Publisher: 
MDPI, Basel
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.
Subjects: 
dividends
capital injection
Lévy processes
scale functions
fluctuation theory
excursion theory
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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