Abstract

In this paper, a risk model driven by spectrally negative Lévy processes is considered where dividends until a general draw-down time are paid under a constant barrier strategy. In this model, the moments of the sum of the discounted dividend payments until the general draw-down time are derived through the corresponding scale functions. The explicit expressions for the Laplace transform of the discounted dividends are also obtained. Moreover, numerical examples are given to illustrate the impacts of barrier levels and draw-down functions on the results.

中文翻译：

---

由光谱负 Lévy 过程驱动的风险模型的股息支付直到提取时间

摘要

在本文中，考虑了由光谱负 Lévy 过程驱动的风险模型，其中在恒定障碍策略下支付股息直到一般提取时间。在这个模型中，贴现股息支付总和到一般提款时间的时刻是通过相应的比例函数导出的。还获得了贴现股利的拉普拉斯变换的显式表达式。此外，还给出了数值示例来说明障碍水平和缩减函数对结果的影响。