Spectrally Negative Lévy Risk Model Under Multi-Layer Ratcheting Dividend Strategy and Capital Injections

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Authors: Fuyun Sun, Yongxia Zhao
Cited by: 0

Abstract

In this study, we investigate the mixed n-layer ratcheting dividend and capital injection policies for a spectrally negative Lévy risk model, where dividend distributions are implemented continuously in a non-decreasing manner, and capital injections are conducted discretely at the jump instants of an independent Poisson process. We incorporate both terminal values and transaction costs into the analysis, making the model more in line with practical scenarios. The value function and the Laplace transform of the ruin time are derived by leveraging Lévy fluctuation theory, and all the obtained results are formulated in terms of scale functions. Furthermore, numerical examples based on the classic risk model are provided to illustrate the theoretical findings.

Fields of Study & Subjects

Probability and Risk Models Stochastic processes and financial applications Probability and Statistical Research

Publication details

Journal / source
Axioms
Volume
15
Issue
2
Pages
101–101
Publication date
30 January 2026
Language
EN