Problem wyboru optymalnej paryskiej dywidendy dla procesu ryzyka typu Lévy’ego – numeryczna analiza
Numerical analysis of dividend problem with Parisian delay for a spectrally negative Lévy risk process

Summary/Abstract: In this paper we consider a dividend problem for an insurance company whose risk evolves as a spectrally negative Lévy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by the cumulative discounted dividends received until the moment of ruin. In this paper we find necessary conditions for barrier strategy to be optimal. We focus on numerical analysis of few examples of risk process such as Cramér-Lunberg process (large claim size case) and Brownian motion with drift (small claim size case)

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