Ruin probability in the presence of interest earnings and tax payments

DOI10.1016/j.insmatheco.2009.05.004zbMath1231.91249OpenAlexW2081626699MaRDI QIDQ659105

Li Wei

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.004

zbMATH Keywords

subexponential distributionsruin probabilityclassical risk modeltax paymentscompound interest

Mathematics Subject Classification ID

Related Items (12)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ A Constant Interest Risk Model with Tax Payments ⋮ Lévy insurance risk process with Poissonian taxation ⋮ On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy ⋮ On a risk model with Markovian arrivals and tax ⋮ Optimal loss-carry-forward taxation for the Lévy risk model ⋮ On the Markov-dependent risk model with tax ⋮ On the time value of absolute ruin with tax ⋮ On maximizing expected discounted taxation in a risk process with interest ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ The equivalence of two tax processes

Cites Work

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• On optimal investment and subexponential claims
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• The finite-time ruin probability of the compound Poisson model with constant interest force

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