Footnote:
In: Insurance: Mathematics and Economics, Vol. 50, No. 2, 2012
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 9, 2011 erstellt
Description:
In this paper, we consider a general Levy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Levy process reflected at its running maximum. We prove that if the positive jumps of the risk model form a compound Poisson process and the remaining part is a spectrally negative Levy process with unbounded variation, the Laplace transform (as a function of the initial surplus) of the upward entrance time of the reflected (at the running infimum) Levy process exhibits the smooth pasting property at the reflecting barrier. When the surplus process is described by a double exponential jump diffusion in the absence of dividend payment, we derive some explicit expressions for the Laplace transform of the ruin time, the distribution of the deficit at ruin, and the total expected discounted dividends. Numerical experiments concerning the optimal barrier strategy are performed and new empirical findings are presented