A Time-Homogeneous Diffusion Model with Tax

DOI10.1239/jap/1363784433zbMath1271.62246OpenAlexW2074227382MaRDI QIDQ4918572

Bin Li, Xiao-Wen Zhou, Qi-he Tang

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784433

zbMATH Keywords

diffusionLaplace transformMarkov propertyhitting timetaxtwo-sided exit problem

Mathematics Subject Classification ID

Related Items (12)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ A pair of optimal reinsurance-investment strategies in the two-sided exit framework ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections ⋮ Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ Stochastic areas of diffusions and applications ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ A unified approach for drawdown (drawup) of time-homogeneous Markov processes ⋮ 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

Cites Work

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• 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
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Lundberg's risk process with tax
• Introductory lectures on fluctuations of Lévy processes with applications.
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
• The First Passage Problem for a Continuous Markov Process

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