 Two-side exit problems for taxed Lévy risk process involving the general draw-down timeWenyuan Wang and Ruixing Ming Statistics & Probability Letters, 2018, vol. 138, issue C, 66-74 Abstract: The literature has been witnessing an aroused interest in the study of the two-side exit problems for various models. Motivated by Kyprianou and Zhou (2009) and Li et al. (2018), the present paper concerns the two-side exit problems of the taxed spectrally negative Lévy risk process involving the general draw-down time. Our two-side exit problem is separated into two sub-problems: one being the Laplace transform of the up-exiting time of a certain level on the event that the taxed risk process up-crosses that level before the general draw-down time; the other being the Laplace transform of the draw-down time on the event that draw-down of the taxed risk process occurs before it up-crosses a certain level. Using a modified approximating method of Li et al. (2018) together with the excursion theory, solutions for the aforementioned two-side exit problems are obtained. Keywords: Two-side exit problems; Tax; Spectrally negative Lévy process; Draw-down time (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:138:y:2018:i:c:p:66-74 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spl.2018.02.065 Access Statistics for this article Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul More articles in Statistics & Probability Letters from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.