Abstract Let {XH (t), t≥ 0} be a fractional Brownian motion with Hurst index H∈(0, 1] and
define a γ-reflected process W γ (t)= XH (t)− ct− γ inf s∈[0, t](XH (s)− cs), t≥ 0 with c> 0 …

In this paper we consider a spectrally negative Lévy risk model with tax. With the ruin time
replaced by a draw-down time with a linear draw-down function and for a constant tax rate …

The idea of taxation in risk process was first introduced by Albrecher, H. & Hipp, C.
Lundberg's risk process with tax. Blätter der DGVFM 28 (1), 13–28, who suggested that a …

In the last years there appeared a great variety of identities for first passage problems of
spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic …

Motivated by Avram, Vu and Zhou (2017), Kyprianou and Zhou (2009), Li, Vu and Zhou
(2017), Wang and Hu (2012), and Wang and Zhou (2018), we consider in this paper the …

First passage problems for spectrally negative Lévy processes with possible absorbtion
or/and reflection at boundaries have been widely applied in mathematical finance, risk …

In this paper we identify three questions concerning the management of risk networks with a
central branch, which may be solved using the extensive machinery available for one …

Drawdown/regret times feature prominently in optimal stopping problems, in statistics
(CUSUM procedure), and in mathematical finance (Russian options). Recently it was …

This paper provides a methodology based on the extensive one-dimensional machinery
available for one-dimensional risk models towards managing simple central branch risk …

In the context of loss-carry-forward taxation on the capital of an insurance company, we
introduce two tax processes, latent and natural tax processes and show they are equivalent …