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Distribution of the present value of dividend payments in a Lévy risk model. (English) Zbl 1132.60041
Summary: In this short paper, we show how fluctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividends paid until ruin in a Lévy insurance risk model with a dividend barrier.

MSC:
60G51 Processes with independent increments; Lévy processes
91B30 Risk theory, insurance (MSC2010)
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