Lévy风险过程的混合周期-经典障碍策略
Mixed Periodic-classical barrier strategies for Lévy risk processes
摘要：
给定一个谱负Lévy过程和独立的Poisson观测时间，我们考虑一个周期性的障碍策略，当它在某个水平上时，它将过程推到某个水平，我们还考虑了在其上和/或其下具有额外经典反射的版本.利用尺度函数和漂移理论，计算了各种涨落恒等式。在de Finetti的股息问题的应用进行了讨论。
英文摘要：
Given a spectrally negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation identities are computed in terms of the scale function. Applications in de Finetti's dividend problems are also discussed.
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