General tax structures for a Lévy insurance risk process under the Cramér condition
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DOI: 10.1016/j.spa.2019.05.003
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References listed on IDEAS
- Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605, October.
- Renaud, Jean-François, 2009. "The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 242-246, October.
- Bertoin, J. & Doney, R. A., 1994. "Cramer's estimate for Lévy processes," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 363-365, December.
- Mijatović, Aleksandar & Pistorius, Martijn, 2015. "Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2937-2954.
- Albrecher, Hansjörg & Borst, Sem & Boxma, Onno & Resing, Jacques, 2009. "The tax identity in risk theory -- a simple proof and an extension," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 304-306, April.
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Cited by:
- Griffin, Philip S., 2022. "Path decomposition of a reflected Lévy process on first passage over high levels," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 29-47.
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Keywords
Lévy insurance risk process; Cramér condition; Reflected process; Tax structures; First passage time; Overshoot;All these keywords.
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