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Contents of PMS, Vol. 37, Fasc. 2,
pages 219 - 227
 

ON THE JOINT DISTRIBUTION OF TAX PAYMENTS AND CAPITAL INJECTIONS FOR A LÉVY RISK MODEL

Hansjörg Albrecher
Jevgenijs Ivanovs

Abstract: We study the joint distribution of tax payments according to a loss-carry-forward scheme and capital injections in a Lévy risk model, and provide a transparent expression for the corresponding transform in terms of the scale function. This allows us to identify the net present value of capital injections in such a model, complementing the one for tax found in our paper [3]. We also apply the result to the situation when injections may be stopped at a constant rate, and in this case an explicit formula for the net present value of taxes and injections is given.

2010 AMS Mathematics Subject Classification: Primary: 60G51; Secondary: 60E10.

Keywords and phrases: Two-sided reflection, finite buffer, dividends, net present value, scale functions.

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