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Article: A note on joint occupation times of spectrally negative Lévy risk processes with tax

TitleA note on joint occupation times of spectrally negative Lévy risk processes with tax
Authors
KeywordsBrownian motion with drift
Compound Poisson process
Loss-carry-forward taxation
Occupation time
Spectrally negative Lévy process
Issue Date2018
PublisherElsevier BV, North-Holland. The Journal's web site is located at http://www.elsevier.com/locate/issn/01677152
Citation
Statistics and Probability Letters, 2018, v. 140, p. 13-22 How to Cite?
AbstractIn this paper we consider the joint Laplace transform of occupation times over disjoint intervals for spectrally negative Lévy processes with a general loss-carry-forward taxation structure. This tax structure was first introduced by Albrecher and Hipp in their paper in 2007. We obtain representations of the joint Laplace transforms in terms of scale functions and the Lévy measure associated with the driven spectrally negative Lévy processes. Two numerical examples, i.e. a Brownian motion with drift and a compound Poisson model, are provided at the end of this paper and explicit results are presented with discussions.
Persistent Identifierhttp://hdl.handle.net/10722/258734
ISSN
2017 Impact Factor: 0.533
2015 SCImago Journal Rankings: 0.720
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWang, W-
dc.contributor.authorWu, X-
dc.contributor.authorPeng, X-
dc.contributor.authorYuen, KC-
dc.date.accessioned2018-08-22T01:43:11Z-
dc.date.available2018-08-22T01:43:11Z-
dc.date.issued2018-
dc.identifier.citationStatistics and Probability Letters, 2018, v. 140, p. 13-22-
dc.identifier.issn0167-7152-
dc.identifier.urihttp://hdl.handle.net/10722/258734-
dc.description.abstractIn this paper we consider the joint Laplace transform of occupation times over disjoint intervals for spectrally negative Lévy processes with a general loss-carry-forward taxation structure. This tax structure was first introduced by Albrecher and Hipp in their paper in 2007. We obtain representations of the joint Laplace transforms in terms of scale functions and the Lévy measure associated with the driven spectrally negative Lévy processes. Two numerical examples, i.e. a Brownian motion with drift and a compound Poisson model, are provided at the end of this paper and explicit results are presented with discussions.-
dc.languageeng-
dc.publisherElsevier BV, North-Holland. The Journal's web site is located at http://www.elsevier.com/locate/issn/01677152-
dc.relation.ispartofStatistics and Probability Letters-
dc.subjectBrownian motion with drift-
dc.subjectCompound Poisson process-
dc.subjectLoss-carry-forward taxation-
dc.subjectOccupation time-
dc.subjectSpectrally negative Lévy process-
dc.titleA note on joint occupation times of spectrally negative Lévy risk processes with tax-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.spl.2018.04.016-
dc.identifier.scopuseid_2-s2.0-85046719353-
dc.identifier.hkuros286752-
dc.identifier.volume140-
dc.identifier.spage13-
dc.identifier.epage22-
dc.identifier.isiWOS:000438180200003-
dc.publisher.placeNetherlands-

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