Name
Title | ||
|---|---|---|
Spectrally Negative Levy Processes Perturbed By Functionals Of Their Running Supremum |
Abstract | ||
|---|---|---|
In the setting of the classical Cramer-Lundberg risk insurance model, Albrecher and Hipp (2007) introduced the idea of tax payments. More precisely, if X = {X-t : t >= 0} represents the Cramer-Lundberg process and, for all t >= 0, S-t := sup(s <= t) X-s, then Albrecher and Hipp studied X-t - gamma S-t, t >= 0, where gamma is an element of (0, 1) is the rate at which tax is paid. This model has been generalised to the setting that X is a spectrally negative Levy process by Albrecher, Renaud and Zhou (2008). Finally, Kyprianou and Zhou (2009) extended this model further by allowing the rate at which tax is paid with respect to the process S = {S-t : t >= 0} to vary as a function of the current value of S. Specifically, they considered the so-called perturbed spectrally negative Levy process, U-t := X-t - integral((0,t]) gamma(S-u) dS(u), t >= 0, under the assumptions that gamma: [0, infinity) -> [0, 1) and integral(infinity)(0) (1 - gamma(s)) ds = infinity. In this article we show that a number of the identities in Kyprianou and Zhou (2009) are still valid for a much more general class of rate functions gamma: [0, infinity) -> R. Moreover, we show that, with appropriately chosen gamma, the perturbed process can pass continuously (i.e. creep) into (-infinity, 0) in two different ways. |
Year | Venue | Keywords |
|---|---|---|
2012 | JOURNAL OF APPLIED PROBABILITY | Spectrally negative Levy process, excursion theory, creeping, ruin |
DocType | Volume | Issue |
Journal | 49 | 4 |
ISSN | Citations | PageRank |
0021-9002 | 0 | 0.34 |
References | Authors | |
0 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Andreas E. Kyprianou | 1 | 17 | 5.31 |
| Curdin Ott | 2 | 0 | 0.34 |