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On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments

Author

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  • Zhao, Xianghua
  • Dong, Hua
  • Dai, Hongshuai

Abstract

In this note, we introduce a spectrally positive Lévy risk process with Parisian implementation delays in dividend payments, which means that the dividends can only be paid when the surplus of the Lévy risk process has stayed continuously above the barrier b for a certain time r(>0). Using the scale functions and the distribution of the risk process at time r, the Laplace transform of the ruin time is derived.

Suggested Citation

  • Zhao, Xianghua & Dong, Hua & Dai, Hongshuai, 2018. "On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments," Statistics & Probability Letters, Elsevier, vol. 140(C), pages 176-184.
    • Handle: RePEc:eee:stapro:v:140:y:2018:i:c:p:176-184
    DOI: 10.1016/j.spl.2018.05.013
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    Cited by:

    1. Xuan Huang & Jieming Zhou, 2022. "General Draw-Down Times for Refracted Spectrally Negative Lévy Processes," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 875-891, June.
    2. 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.

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