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On a spectrally negative Lévy risk process with periodic dividends and capital injections

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  • Dong, Hua
  • Zhou, Xiaowen

Abstract

In this paper, we investigate a spectrally negative Lévy risk model with both dividends and capital injections being made at independent Poisson observation times. Probability generating functions of the number of dividend payments and the number of capital injections are obtained. All the results are expressed in terms of scale functions.

Suggested Citation

  • Dong, Hua & Zhou, Xiaowen, 2019. "On a spectrally negative Lévy risk process with periodic dividends and capital injections," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    • Handle: RePEc:eee:stapro:v:155:y:2019:i:c:16
    DOI: 10.1016/j.spl.2019.108589
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    References listed on IDEAS

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