Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy

We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is allowed to spend time below the critical ruin level, but is penalised by a state-dependent intensity of bankruptcy. We show that under the spectrally negative model an optimal strategy is such that the surplus is reduced to a level $c_1$ whenever they are above another level $c_2$, and that such levels are unique under the additional assumption that the Lévy measure has a log-convex tail. We describe a numerical method to compute the optimal values $c_1$ and $c_2$.