The equivalence of two tax processes

DOI10.1016/J.INSMATHECO.2019.10.002zbMath1431.91242arXiv1811.01664OpenAlexW2899348061MaRDI QIDQ2292170

Alexander R. Watson, Dalal Al Ghanim, Ronnie Loeffen

Publication date: 3 February 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.01664

zbMATH Keywords

optimal controlrisk processruin probabilityspectrally negative Lévy processtax ratetax identitytax process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Cites Work

• Ruin probability in the presence of interest earnings and tax payments
• The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
• The tax identity in risk theory - a simple proof and an extension
• On a risk model with surplus-dependent premium and tax rates
• Fluctuations of Lévy processes with applications. Introductory lectures
• Lundberg's risk process with tax
• Optimal loss-carry-forward taxation for the Lévy risk model
• The tax identity for Markov additive risk processes
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum
• A Time-Homogeneous Diffusion Model with Tax
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