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Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

Part of: Stochastic processes Mathematical economics

Published online by Cambridge University Press:  14 July 2016

Jean-François Renaud  and
Xiaowen Zhou
Jean-François Renaud*
Affiliation:
Université de Montréal
Xiaowen Zhou*
Affiliation:
Concordia University
*
∗ Postal address: Département de Mathématiques et de Statistique, Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, Québec H3C 3J7, Canada. Email address: renaud@dms.umontreal.ca
∗∗ Postal address: Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd W., Montréal, Québec H3G 1M8, Canada. Email address: xzhou@mathstat.concordia.ca
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Abstract

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In this short paper, we show how fluctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividends paid until ruin in a Lévy insurance risk model with a dividend barrier.

Keywords

Lévy processfluctuation theoryscale functionsinsurance risk processdividend barrierdividend paymentstime of ruin

MSC classification

Primary: 60G51: Processes with independent increments; L'evy processes
Secondary: 91B30: Risk theory, insurance
Type
Research Article
Information
Journal of Applied Probability , Volume 44 , Issue 2 , June 2007 , pp. 420 - 427
Copyright
Copyright © Applied Probability Trust 2007 

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