The tax identity for Markov additive risk processes

DOI10.1007/S11009-012-9310-YzbMath1286.91062OpenAlexW1984340353MaRDI QIDQ2445485

Corina Constantinescu, Jevgenijs Ivanovs, Florin Avram, Hansjoerg Albrecher

Publication date: 14 April 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_160358A3F7AB.P001/REF.pdf

zbMATH Keywords

first-passage timespectrally-negative Markov additive processestaxed Sparre Andersen risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Processes in random environments (60K37)

Related Items (7)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ On taxed spectrally negative Lévy processes with draw-down stopping ⋮ Lévy insurance risk process with Poissonian taxation ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ The equivalence of two tax processes ⋮ General drawdown of general tax model in a time-homogeneous Markov framework

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