We propose a term structure of forward rates driven by a kernel-correlated Levy random field under the HJM framework. The kernel-correlated Levy random field is composed of a kernel-correlated Gaussian random field and a centered Poisson random measure. We shall give a criterion to preclude...

In this note, we point out some errors in Section 3 of our earlier paper “Levy risk model with two-sided jumps and a barrier dividend strategy” published in Insurance: Mathematics and Economics, 50(2): 280-291, 2012. Specifically, we find that the optimal barrier does not depend on initial...

In this paper, we consider a general Levy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Levy process reflected at its running maximum. We prove that if the positive jumps of the...