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Open AccessArticle

Potential Densities for Taxed Spectrally Negative Lévy Risk Processes

by 1 and 2,*
1
School of Mathematical Sciences, Xiamen University, Xiamen 361005, China
2
Department of Mathematics and Statistics, Concordia University, Montreal, QC H3G 1M8, Canada
*
Author to whom correspondence should be addressed.
Risks 2019, 7(3), 85; https://doi.org/10.3390/risks7030085
Received: 29 May 2019 / Revised: 24 June 2019 / Accepted: 17 July 2019 / Published: 2 August 2019
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. View Full-Text
Keywords: spectrally negative Lévy process; general tax structure; first crossing time; joint Laplace transform; potential measure spectrally negative Lévy process; general tax structure; first crossing time; joint Laplace transform; potential measure
MDPI and ACS Style

Wang, W.; Zhou, X. Potential Densities for Taxed Spectrally Negative Lévy Risk Processes. Risks 2019, 7, 85.

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