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General tax structures and the Lévy insurance risk model. (English) Zbl 1210.60098
This paper considers a surplus process in the form of a general spectrally negative Levy process, that is commonly referred to as a Levy insurance risk process, with tax payments of a more general structure than in the papers written recently.
They established new identities for the two-sided exit problem, a generalized version of the Gerber-Shiu function, as well as the net present value of tax paid until ruin.

MSC:
60K05 Renewal theory
60K15 Markov renewal processes, semi-Markov processes
91B30 Risk theory, insurance (MSC2010)
60G70 Extreme value theory; extremal stochastic processes
60J55 Local time and additive functionals
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References:
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