Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes
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 the observed value is above it. We also consider the versions with additional classical reflection above and/or below....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-04-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/6/2/33 |