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Article

On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model

School of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang 330045, China
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Author to whom correspondence should be addressed.
Risks 2025, 13(9), 162; https://doi.org/10.3390/risks13090162
Submission received: 22 July 2025 / Revised: 9 August 2025 / Accepted: 18 August 2025 / Published: 22 August 2025

Abstract

As a crucial modeling tool for stochastic financial markets, the Lévy risk model effectively characterizes the evolution of risks during enterprise operations. Through dynamic evaluation and quantitative analysis of risk indicators under specific dividend- distribution strategies, this model can provide theoretical foundations for optimizing corporate capital allocation. Addressing the inadequate adaptability of traditional single-period threshold strategies in time-varying market environments, this paper proposes a dividend strategy based on multiperiod dynamic threshold adjustments. By implementing periodic modifications of threshold parameters, this strategy enhances the risk model’s dynamic responsiveness to market fluctuations and temporal variations. Within the framework of the spectrally negative Lévy risk model, this paper constructs a stochastic control model for multiperiod threshold dividend strategies. We derive the integro-differential equations for the expected present value of aggregate dividend payments before ruin and the Gerber–Shiu function, respectively. Combining the methodologies of the discounted increment density, the operator introduced by Dickson and Hipp, and the inverse Laplace transforms, we derive the explicit solutions to these integro-differential equations. Finally, numerical simulations of the related results are conducted using given examples, thereby demonstrating the feasibility of the analytical method proposed in this paper.
Keywords: multi-periodic threshold strategy; spectrally negative Lévy process; the discounted increment density; integro-differential equation; Gerber–Shiu function multi-periodic threshold strategy; spectrally negative Lévy process; the discounted increment density; integro-differential equation; Gerber–Shiu function

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MDPI and ACS Style

Shen, S.; Yu, Z.; Liu, Z. On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model. Risks 2025, 13, 162. https://doi.org/10.3390/risks13090162

AMA Style

Shen S, Yu Z, Liu Z. On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model. Risks. 2025; 13(9):162. https://doi.org/10.3390/risks13090162

Chicago/Turabian Style

Shen, Sijia, Zijing Yu, and Zhang Liu. 2025. "On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model" Risks 13, no. 9: 162. https://doi.org/10.3390/risks13090162

APA Style

Shen, S., Yu, Z., & Liu, Z. (2025). On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model. Risks, 13(9), 162. https://doi.org/10.3390/risks13090162

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