Abstract: We consider the threshold dividend strategy where a company’s surplus process is described by thedual Lévyrisk model. Namely, the company chooses to pay dividends at a constant rate only whenthe surplus is above some nonnegative threshold. Classically, such a company is referred to be ruinedimmediately when the surplus level becomes negative. Recently, researchers investigate the Parisianruin problem where the company is allowed to operate under negative surplus for a predeterminedperiod known as the Parisian delay. With the help of the fluctuation identities of spectrally negativeLévyprocesses, we obtain an explicit expression of the expected discounted dividends until Parisianruin in terms of the relevant scale functions and certain probabilities that need to be evaluated for eachspecific Lévyprocess. The optimal threshold level under such a threshold dividend strategy is deduced.Applications and numerical examples are given to illustrate the theoretical results and examine howthe expected discounted aggregate dividends and the optimal threshold level change in response todifferent Parisian delays.

Keywords: Parisian ruin,Lévyprocess,Threshold dividend strategy,Dual model,Optimality

本文于2020年1月发表在Insurance: Mathematics and Economics (Vol 90: 135-150)上，杨琛为论文的第一作者兼通讯作者。Insurance: Mathematics and Economics是精算领域公认的顶级期刊，该期刊为best365网页版登录B+类奖励期刊。

文章链接：https://doi.org/10.1016/j.insmatheco.2019.11.002