Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum

DOI10.1239/jap/1354716654zbMath1260.60094arXiv1204.1676OpenAlexW2593055998MaRDI QIDQ4903039

Andreas E. Kyprianou, Curdin Ott

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1676

zbMATH Keywords

ruinexcursion theoryspectrally negative Lévy processcreeping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)

Related Items (6)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ On series expansions for scale functions and other ruin-related quantities ⋮ A capped optimal stopping problem for the maximum process ⋮ Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases ⋮ The equivalence of two tax processes ⋮ Power identities for L\'evy risk models under taxation and capital injections

Cites Work

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• Perturbed Brownian motions
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Lundberg's risk process with tax
• Introductory lectures on fluctuations of Lévy processes with applications.
• 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
• Stochastic Integration with Jumps

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