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On taxed spectrally negative Levy processes with draw-down stopping

Avram, F; Vu, NL; Zhou, XW

Zhou, XW (reprint author), Concordia Univ, Dept Math & Stat, Montreal, PQ, Canada.

INSURANCE MATHEMATICS & ECONOMICS, 2017; 76 ( ): 69

Abstract

In this paper we consider a spectrally negative Levy risk model with tax. With the ruin time replaced by a draw-down time with a linear draw-down func......

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