英文标题：
《Omega risk model with tax》
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作者：
Zhenyu Cui
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最新提交年份：
2014
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英文摘要：
In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We explicitly characterize the Laplace transform of the occupation time of an Azema-Yor process(e.g. a process refracted by functionals of its running maximum) below a constant level until the first hitting time of another Azema-Yor process or until an independent exponential time. This result unifies and extends recent literature(Li and Zhou (2013) and Zhang (2014)) incorporating some of their results as special cases. We explicitly characterize the Laplace transform of the time of bankruptcy in the Omega risk model with tax and discuss an extension to integral functionals. Finally we present examples using a Brownian motion with drift.
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中文摘要：
本文研究了在时间齐次扩散环境下，具有依赖盈余的税收支付的欧米茄风险模型。新模型结合了欧米茄风险模型（Albrecher和Gerber and Shiu（2011））和含税风险模型（Albrecher和Hipp（2007））的实用特征。我们明确地描述了Azema-Yor过程（例如，被其运行最大值的泛函折射的过程）的占据时间在恒定水平以下的拉普拉斯变换，直到另一Azema-Yor过程的第一次击中时间或直到独立的指数时间。这一结果统一并扩展了最近的文献（Li和Zhou（2013）和Zhang（2014）），将他们的一些结果合并为特例。我们明确地刻画了含税欧米茄风险模型中破产时间的拉普拉斯变换，并讨论了积分泛函的一个推广。最后我们给出了带有漂移的布朗运动的例子。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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