Advertisement

Perturbation-at-Maximum Strategies

  • Andreas E. Kyprianou
Part of the EAA Series book series (EAAS)

Abstract

In this chapter, we analyse the case in which payments are made from the surplus that are proportional to increments of the maximum. With appropriate assumptions, this perturbation to the path of the surplus may be seen as the result of taxation.

References

  1. Albrecher, H., Renaud, J.-F., Zhou, X.: A Lévy insurance risk process with tax. J. Appl. Probab. 45, 363–375 (2008) MathSciNetCrossRefzbMATHGoogle Scholar
  2. Bertoin, J.: Lévy Processes. Cambridge University Press, Cambridge (1996) zbMATHGoogle Scholar
  3. Kingman, J.F.C.: Poisson Processes. Oxford University Press, Oxford (1993) zbMATHGoogle Scholar
  4. Kyprianou, A.E., Ott, C.: Spectrally negative Lévy processes perturbed by functionals of their running supremum. J. Appl. Probab. 49, 1005–1014 (2012) MathSciNetCrossRefzbMATHGoogle Scholar
  5. Kyprianou, A.E., Zhou, X.: General tax structures and the Lévy insurance risk model. J. Appl. Probab. 46, 1146–1156 (2009) MathSciNetCrossRefzbMATHGoogle Scholar

Copyright information

© Springer International Publishing Switzerland 2013

Authors and Affiliations

  • Andreas E. Kyprianou
    • 1
  1. 1.Department of Mathematical SciencesUniversity of BathBathUnited Kingdom

Personalised recommendations