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On the moments of dividends and capital injections under a variant type of Parisian ruin

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  • Yan, Kaixin
  • Ming, Ruixing
  • Wang, Haibin
  • Wang, Wenyuan

Abstract

This paper considers a risk model driven by a spectrally negative Lévy process, where any surplus above b (0

Suggested Citation

  • Yan, Kaixin & Ming, Ruixing & Wang, Haibin & Wang, Wenyuan, 2025. "On the moments of dividends and capital injections under a variant type of Parisian ruin," Statistics & Probability Letters, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224001949
    DOI: 10.1016/j.spl.2024.110225
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    References listed on IDEAS

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    1. Li, Yingqiu & Zhou, Xiaowen, 2014. "On pre-exit joint occupation times for spectrally negative Lévy processes," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 48-55.
    2. Florin Avram & Zbigniew Palmowski & Martijn R. Pistorius, 2007. "On the optimal dividend problem for a spectrally negative L\'{e}vy process," Papers math/0702893, arXiv.org.
    3. David Landriault & Jean-François Renaud & Xiaowen Zhou, 2014. "An Insurance Risk Model with Parisian Implementation Delays," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 583-607, September.
    4. Dickson, David C.M. & Waters, Howard R., 2004. "Some Optimal Dividends Problems," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 49-74, May.
    5. Wenyuan Wang & Xiaowen Zhou, 2021. "A Drawdown Reflected Spectrally Negative Lévy Process," Journal of Theoretical Probability, Springer, vol. 34(1), pages 283-306, March.
    6. Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
    Full references (including those not matched with items on IDEAS)

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