Two-side exit problems for taxed Lévy risk process involving the general draw-down time

DOI10.1016/J.SPL.2018.02.065zbMath1390.60172OpenAlexW2792990106MaRDI QIDQ1642249

Ruixing Ming, Wenyuan Wang

Publication date: 20 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.02.065

zbMATH Keywords

spectrally negative Lévy processtaxdraw-down timetwo-side exit problems

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Transition functions, generators and resolvents (60J35)

Related Items (2)

Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time

Cites Work

• Unnamed Item
• On the expected discounted penalty function for risk process with tax
• On the time value of absolute ruin with tax
• Smoothness of scale functions for spectrally negative Lévy processes
• Lundberg's risk process with tax
• On taxed spectrally negative Lévy processes with draw-down stopping
• Optimal loss-carry-forward taxation for the Lévy risk model
• Introductory lectures on fluctuations of Lévy processes with applications.
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum

This page was built for publication: Two-side exit problems for taxed Lévy risk process involving the general draw-down time