Potential Densities for Taxed Spectrally Negative Lévy Risk Processes

Wenyuan Wang and Xiaowen Zhou
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Wenyuan Wang: School of Mathematical Sciences, Xiamen University, Xiamen 361005, China
Xiaowen Zhou: Department of Mathematics and Statistics, Concordia University, Montreal, QC H3G 1M8, Canada

Risks, 2019, vol. 7, issue 3, 1-11

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. The potential density is also obtained for the taxed Lévy risk process killed upon leaving [ 0 , b ] . The results are expressed using scale functions.

Keywords: spectrally negative Lévy process; general tax structure; first crossing time; joint Laplace transform; potential measure (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
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