On taxed spectrally negative Lévy processes with draw-down stopping

DOI10.1016/j.insmatheco.2017.06.005zbMath1395.91245OpenAlexW2728095637MaRDI QIDQ2404541

Florin Avram, Nhat Linh Vu, Xiao-Wen Zhou

Publication date: 19 September 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.06.005

zbMATH Keywords

draw-down timeLévy risk model with tax

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (21)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ Two-side exit problems for taxed Lévy risk process involving the general draw-down time ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ A drawdown reflected spectrally negative Lévy process ⋮ General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ Poissonian potential measures for Lévy risk models ⋮ A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Exit problems for general draw-down times of spectrally negative Lévy processes ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time ⋮ Draw-down Parisian ruin for spectrally negative Lévy processes ⋮ General drawdown of general tax model in a time-homogeneous Markov framework ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

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