کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7547928 | 1489839 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A note on joint occupation times of spectrally negative Lévy risk processes with tax
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 140, September 2018, Pages 13-22
Journal: Statistics & Probability Letters - Volume 140, September 2018, Pages 13-22
نویسندگان
Wenyuan Wang, Xueyuan Wu, Xingchun Peng, Kam C. Yuen,