A note on joint occupation times of spectrally negative Lévy risk processes with tax

DOI10.1016/J.SPL.2018.04.016zbMath1392.60044OpenAlexW2801336472MaRDI QIDQ1644177

Wenyuan Wang, Xueyuan Wu, Kam-Chuen Yuen, Xing-Chun Peng

Publication date: 21 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.04.016

zbMATH Keywords

Brownian motion with driftoccupation timecompound Poisson processspectrally negative Lévy processloss-carry-forward taxation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10)

Related Items (1)

Poissonian occupation times of spectrally negative Lévy processes with applications

Cites Work

• On pre-exit joint occupation times for spectrally negative Lévy processes
• On the expected discounted penalty function for risk process with tax
• On the time value of absolute ruin with tax
• Occupation times of spectrally negative Lévy processes with applications
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• Fluctuations of Lévy processes with applications. Introductory lectures
• Lundberg's risk process with tax
• Optimal loss-carry-forward taxation for the Lévy risk model
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• On the last exit times for spectrally negative Lévy processes

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