scholarly journals On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes

2008 ◽  
Vol 18 (5) ◽  
pp. 1669-1680 ◽  
Author(s):  
R. L. Loeffen
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Barrier Strategy ◽  
Spectrally Negative Lévy Processes

Optimal barrier strategy for spectrally negative Lévy process discounted by a class of exponential Lévy processes

2018 ◽  
Vol 12 (2) ◽  
pp. 326-337
Author(s):  
Huanqun Jiang
Keyword(s):  
Lévy Process ◽  
Lévy Processes ◽  
Levy Processes ◽  
Levy Process ◽  
Barrier Strategy ◽  
Dividend Payment ◽  
Surplus Process ◽  
Spectrally Negative Lévy Process ◽  
Exponential Lévy Process ◽  
Spectrally Negative Lévy Processes

AbstractIn this paper, we extend the optimality of the barrier strategy for the dividend payment problem to the setting that the underlying surplus process is a spectrally negative Lévy process and the discounting factor is an exponential Lévy process. The proof of the main result uses the fluctuation identities of spectrally negative Lévy processes. This extends recent results of Eisenberg for the case where the accumulated interest rate and surplus process are independent Brownian motions with drift.

scholarly journals On the refracted–reflected spectrally negative Lévy processes

2018 ◽  
Vol 128 (1) ◽  
pp. 306-331 ◽  
Author(s):  
José-Luis Pérez ◽  
Kazutoshi Yamazaki
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Spectrally Negative Lévy Processes

On taxed spectrally negative Lévy processes with draw-down stopping

2017 ◽  
Vol 76 ◽  
pp. 69-74 ◽  
Author(s):  
Florin Avram ◽  
Nhat Linh Vu ◽  
Xiaowen Zhou
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Spectrally Negative Lévy Processes

scholarly journals Default Swap Games Driven by Spectrally Negative Levy Processes

2012 ◽  
Author(s):  
Tim Siu-Tang Leung ◽  
Kazutoshi Yamazaki ◽  
Masahiko Egami
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Default Swap ◽  
Spectrally Negative Lévy Processes

scholarly journals Local Times for Spectrally Negative Lévy Processes

2019 ◽  
Vol 52 (4) ◽  
pp. 689-711
Author(s):  
Bo Li ◽  
Xiaowen Zhou
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Local Times ◽  
Spectrally Negative Lévy Processes
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