Potential densities for taxed spectrally negative Lévy risk processes

Wenyuan Wang and Xiaowen Zhou

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
Subject:	first crossing time \| general tax structure \| joint Laplace transform \| potential measure \| spectrally negative Lévy process \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks7030085 [DOI] hdl:10419/257923 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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