On joint occupation times of spectrally negative Lévy processes with a general tax structure
Xueyuan Wu, the University of Melbourne, Australia
Wednesday 8 November 2017 (11h00 - 12h00) - Extranef - 109
In this paper we consider the joint Laplace transform of occupation times over disjoint intervals for spectrally negative Lévy processes with a general loss-carry-forward taxation structure. This tax structure was first introduced by Albrecher and Hipp in their paper in 2007. We obtain representations of the joint Laplace transforms in terms of scale functions and the Lévy measure associated with the driven spectrally negative Lévy processes. Two special cases, i.e. a Brownian Motion with drift and a compound Poisson model, are considered at the end of this paper and explicit results are obtained.