On the expected discounted penalty function for risk process with tax

DOI10.1016/j.spl.2010.12.012zbMath1207.62192OpenAlexW2083275020MaRDI QIDQ631560

Ruixing Ming, Wenyuan Wang, Hu, Yijun

Publication date: 14 March 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.12.012

zbMATH Keywords

ruinLaplace transformexpected discounted penalty functiongeneralized Cramér-Lundberg risk model

Mathematics Subject Classification ID

Related Items (13)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Two-side exit problems for taxed Lévy risk process involving the general draw-down time ⋮ A note on joint occupation times of spectrally negative Lévy risk processes with tax ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy ⋮ An efficient approach for the S‐shaped penalty function ⋮ A scale function based approach for solving integral-differential equations in insurance risk models ⋮ Optimal loss-carry-forward taxation for the Lévy risk model ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ On the Markov-dependent risk model with tax ⋮ The tax identity for Markov additive risk processes ⋮ On maximizing expected discounted taxation in a risk process with interest ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time

Cites Work

• On the dual risk model with tax payments
• The tax identity in risk theory - a simple proof and an extension
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• From ruin theory to pricing reset guarantees and perpetual put options
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Discounted probabilities and ruin theory in the compound binomial model
• Lundberg's risk process with tax
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• On the Time Value of Ruin

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