Power identities for Lévy risk models under taxation and capital injections

DOI10.1214/12-SSY079MaRDI QIDQ2921186zbMATH OpenOpenAlexFDO

Authors Jevgenijs Ivanovs, Hansjörg Albrecher

Publication date 7 October 2014

Published in Stochastic Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.3052, https://projecteuclid.org/euclid.ssy/1411044994

zbMATH Keywords

dividendsinsurancecapital injectionsexit problemscollective risk theoryalternative ruin conceptsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: In this paper we study a spectrally negative L'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax payments according to a loss-carry-forward scheme together with the flow of minimal capital injections required to keep the surplus process non-negative. We characterize the first passage time over an arbitrary level and the cumulative amount of injected capital up to this time by their joint Laplace transform, and show that it satisfies a simple power relation to the case without refraction. It turns out that this identity can also be extended to a certain type of refraction from below. The net present value of tax collected before the cumulative injected capital exceeds a certain amount is determined, and a numerical illustration is provided.

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Cited in

(17)

• Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• On taxed spectrally negative Lévy processes with draw-down stopping
• The tax identity for Markov additive risk processes
• Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
• Exit identities for Lévy processes observed at Poisson arrival times
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• Lévy insurance risk process with Poissonian taxation
• The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process
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• On the joint distribution of tax payments and capitalinjections for a Lévy risk model
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• Linking dividends and capital injections -- a probabilistic approach
• Discretization error for a two-sided reflected Lévy process

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