Periodic dividends and capital injections for a spectrally negative Levy risk process under absolute ruin

被引：2

作者：

Dong, Hua ^{[1
]}

Zhao, Xiang-hua ^{[1
]}

机构：

[1] Qufu Normal Univ, Sch Stat, Qufu 273165, Shandong, Peoples R China

来源：

APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2020年 / 35卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Spectrally negative Levy risk model; Randomized observation; Barrier dividend; Capital injection; Absolute ruin; OCCUPATION TIMES; DUAL MODEL; STRATEGIES; BARRIER;

D O I：

10.1007/s11766-020-3715-0

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The spectrally negative Levy risk model with random observation times is considered in this paper, in which both dividends and capital injections are made at some independent Poisson observation times. Under the absolute ruin, the expected discounted dividends and the expected discounted capital injections are discussed. We also study the joint Laplace transforms including the absolute ruin time and the total dividends or the total capital injections. All the results are expressed in scale functions.

引用

页码：349 / 358

页数：10

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