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General drawdown-based exit identities for Lévy processes observed at poisson arrival time

Published online by Cambridge University Press:  17 February 2026

Jingchao Li*
Affiliation:
Shenzhen University
Shuanming Li*
Affiliation:
University of Melbourne
Wenyuan Wang*
Affiliation:
Fujian Normal University
Kaixin Yan*
Affiliation:
Xiamen University
*
*Postal address: School of Mathematical Sciences, Shenzhen University, Shenzhen, Guangdong 518060, P.R. China. Email: jingchaoli@szu.edu.cn
**Postal address: Department of Economics, Centre for Actuarial Studies, University of Melbourne, Melbourne, VIC 3010, Australia. Email: shli@unimelb.edu.au
***Postal address: School of Mathematics and Statistics, Fujian Normal University, Fuzhou, Fujian 350117, P.R. China. Email: wwywang@xmu.edu.cn
****Postal address: School of Mathematical Sciences, Xiamen University, Xiamen, Fujian 361005, P.R. China. Email: kaixinyan@stu.xmu.edu.cn
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Abstract

This paper derives explicit expressions for drawdown-based two-sided exit identities involving the overshoots and undershoots at the exit times under Poisson observation times for spectrally negative Lévy risk processes by using fluctuation theory. All resulting Laplace transforms of the risk quantities of interest are expressed in terms of the scale functions of the spectrally negative Lévy processes.

Information

Type
Original Article
Copyright
© The Author(s), 2026. Published by Cambridge University Press on behalf of Applied Probability Trust