Power Identities for Lévy Risk Models Under Taxation and Capital Injections
Published Online:4 Feb 2014https://doi.org/10.1287/12-SSY079
References
- (2011). The optimal dividend barrier in the Gamma-Omega model. Eur. Actuar. J. 1 43–55. MR2843466Google Scholar
- (2007). Lundberg’s risk process with tax. Bl. DGVFM 28 13–28. MR2405335Google Scholar
- (2013). A risk model with an observer in a Markov environment. Risks 1 148–161.Google Scholar
- (2013). From ruin to bankruptcy for compound Poisson surplus processes. ASTIN Bull. 43 213–243.Google Scholar
- (2008). A Lévy insurance risk process with tax. J. Appl. Probab. 45 363–375. MR2426837Google Scholar
- (2009). The tax identity in risk theory—a simple proof and an extension. Insurance Math. Econom. 44 304–306. MR2517894Google Scholar
- (2009). Structural properties of reflected Lévy processes. Queueing Syst. 63 301–322. MR2576016Google Scholar
- (2003). Applied probability and queues, second ed. Applications of Mathematics (New York) 51. Springer-Verlag, New York. Stochastic Modelling and Applied Probability. MR1978607Google Scholar
- (1996). Lévy processes. Cambridge Tracts in Mathematics 121. Cambridge University Press, Cambridge. MR1406564Google Scholar
- (2004). Some optimal dividends problems. ASTIN Bull. 34 49–74. MR2055537Google Scholar
- (2011). Old and new examples of scale functions for spectrally negative Lévy processes. In Seminar on Stochastic Analysis, Random Fields and Applications VI. Progr. Probab. 63 119–145. Birkhäuser/Springer Basel AG, Basel. MR2857022Google Scholar
- (2011). A new approach to fluctuations of reflected Lévy processes. Technical Report, Eurandom, Eindhoven University of Technology. arXiv: 1004.3857v1.Google Scholar
- (2006). Reflecting thoughts. Statist. Probab. Lett. 76 1808–1811. MR2274144Google Scholar
- (2007). An explicit formula for the Skorokhod map on [0, a]. Ann. Probab. 35 1740–1768. MR2349573Google Scholar
- (2008). Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Insurance Math. Econom. 43 270–278. MR2456621Google Scholar
- (2006). Introductory lectures on fluctuations of Lévy processes with applications. Universitext. Springer-Verlag, Berlin. MR2250061Google Scholar
- (2012). Spectrally negative Lévy processes perturbed by functionals of their running supremum. J. App. Probab. 49 1005–1014. MR3058985Google Scholar
- (2009). General tax structures and the Lévy insurance risk model. J. Appl. Probab. 46 1146–1156. MR2582712Google Scholar
- (2014). Occupation times of intervals until first passage times for spectrally negative Lévy processes. Stochastic Process. Appl. 124 1408–1435. MR3148018Google Scholar
- (2011). Minimizing the ruin probability through capital injections. Annals of Actuarial Science 5 195–209.Google Scholar
- (2004). On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum. J. Theoret. Probab. 17 183–220. MR2054585Google Scholar
- (2007). Distribution of the present value of dividend payments in a Lévy risk model. J. Appl. Probab. 44 420–427. MR2340208Google Scholar

