Potential densities for taxed spectrally negative Lévy risk processes

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.

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Year of publication:	2019
Authors:	Wang, Wenyuan ; Zhou, Xiaowen
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 7.2019, 3, p. 1-11
Publisher:	Basel : MDPI
Subject:	first crossing time \| general tax structure \| joint Laplace transform \| potential measure \| spectrally negative Lévy process

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks7030085 [DOI] 1683838866 [GVK] hdl:10419/257923 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200503