Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257923 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 3 [Article No.:] 85 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-11
Publisher: 
MDPI, Basel
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.
Subjects: 
first crossing time
general tax structure
joint Laplace transform
potential measure
spectrally negative Lévy process
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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