Potential Densities for Taxed Spectrally Negative Lévy Risk Processes
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DOI: 10.3390/risks7030085
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.… read more here.
Keywords: taxed spectrally; spectrally negative; densities taxed; risk ... See more keywords