Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
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Publication:3653505
DOI10.2143/AST.39.2.2044644zbMath1179.91104OpenAlexW2038218249MaRDI QIDQ3653505
Publication date: 22 December 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.39.2.2044644
asymptoticsruin probabilityLévy processsubexponentialityconvolution-equivalent tailperiodic taxation
Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70)
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Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Stability of the exit time for Lévy processes ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Lévy insurance risk process with Poissonian taxation ⋮ On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy ⋮ Optimal loss-carry-forward taxation for the Lévy risk model ⋮ On the Markov-dependent risk model with tax ⋮ A Time-Homogeneous Diffusion Model with Tax ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
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