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This paper revisits the spectrally negative Lévy risk process embedded with the general tax structure introduced in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first… Click to show full abstract
This paper revisits the spectrally negative Lévy risk process embedded with the general tax structure introduced in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0. The potential density is also obtained for the taxed Lévy risk process killed upon leaving [ 0 , b ] . The results are expressed using scale functions.
Keywords:
taxed spectrally;
spectrally negative;
densities taxed;
risk;
negative risk;
potential densities
Journal Title: Risks
Year Published: 2019
Link to full text (if available)
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Journal Title: Risks
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!