Power identities for L\'evy risk models under taxation and capital injections

DOI10.1214/12-SSY079zbMath1300.60067arXiv1310.3052OpenAlexW1980788027MaRDI QIDQ2921186

Jevgenijs Ivanovs, Hansjoerg Albrecher

Publication date: 7 October 2014

Full work available at URL: https://arxiv.org/abs/1310.3052

zbMATH Keywords

insurancecapital injectionsdividendsexit problemsspectrally negative Lévy processescollective risk theoryalternative ruin concepts

Mathematics Subject Classification ID

Related Items (13)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Exit identities for Lévy processes observed at Poisson arrival times ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections ⋮ On taxed spectrally negative Lévy processes with draw-down stopping ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Linking dividends and capital injections – a probabilistic approach ⋮ The distribution of the supremum of a $\gamma $-reflected stochastic process with an input process belonging to some exponential type Orlicz space ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Discretization error for a two-sided reflected Lévy process ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ Unnamed Item ⋮ General drawdown of general tax model in a time-homogeneous Markov framework

Cites Work

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• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• General tax Structures and the Lévy Insurance Risk Model
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• Some Optimal Dividends Problems
• Applied Probability and Queues
• Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum
• FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

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