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math.PR2018
A draw-down reflected spectrally negative Lévy process
Wenyuan Wang, Xiaowen Zhou
In this paper we study a spectrally negative Lévy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-t…
math.OC2018
Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative Lévy Risk Processes
Wenyuan Wang, Yuebao Wang, Xueyuan Wu
For an insurance company with reserve modeled by the spectrally negative Lévy process, we study the optimal impulse dividend maximizing the expected accumulated net dividend paymen…