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A proxy signature scheme allows an entity to delegate his/her signing capability to another entity in such a way that the latter can sign messages on behalf of the former when the former is not available. In this paper, we present a new proxy signature scheme with message recovery using verifiable self-certified public key. The self-certified public key has an advantage which can withstand public key substitution attacks. Proposed scheme is secure against several active attacks and forgery attacks also. Another advantage of the proposed scheme is that the use of verifiable self-certified public key overcomes the weakness of repudiability of the self-certified public key and accomplishes the tasks of public key verification, proxy signature verification, and message recovery in a logically single step. In addition, the proposed scheme satisfies all properties of strong proxy signature and does not use secure channel in the communication between the original signer and the proxy signer.