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2014
- doi: 10.1214/12-SSY079
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H. Albrecher et al., « Power identities for Lévy risk models under taxation and capital injections », Serveur académique Lausannois, ID : 10.1214/12-SSY079
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Résumé
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax payments according to a loss-carry-forward scheme together with the flow of minimal capital injections required to keep the surplus process non-negative. We characterize the first passage time over an arbitrary level and the cumulative amount of injected capital up to this time by their joint Laplace transform, and show that it satisfies a simple power relation to the case without refraction, generalizing results by Albrecher and Hipp (2007) and Albrecher, Renaud and Zhou (2008). It turns out that this identity can also be extended to a certain type of refraction from below. The net present value of tax collected before the cumulative injected capital exceeds a certain amount is determined, and a numerical illustration is provided.