Power identities for L\'evy risk models under taxation and capital injections
In this paper we study a spectrally negative L\'evy 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. 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.
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- Albrecher, Hansjörg & Lautscham, Volkmar, 2013. "From Ruin to Bankruptcy for Compound Poisson Surplus Processes," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(02), pages 213-243, May.
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