Power identities for Lévy risk models under taxation and capital injections

DOI10.1214/12-SSY079zbMATH Open1300.60067arXiv1310.3052OpenAlexW1980788027MaRDI QIDQ2921186FDOQ2921186

Authors: Jevgenijs Ivanovs, Hansjörg Albrecher 

Publication date: 7 October 2014

Published in: Stochastic Systems (Search for Journal in Brave)

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.

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

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zbMATH Keywords

dividendsinsurancecapital injectionsexit problemscollective risk theoryalternative ruin conceptsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited In (17)

• 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
• Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
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• Lévy insurance risk process with Poissonian taxation
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• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Linking dividends and capital injections -- a probabilistic approach
• Discretization error for a two-sided reflected Lévy process

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