The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

DOI10.1016/j.insmatheco.2009.07.004zbMath1231.91230OpenAlexW2013581840MaRDI QIDQ659130

Jean-François Renaud

Publication date: 10 February 2012

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

Full work available at URL: http://www.archipel.uqam.ca/8259/1/Renaud-2009a-preprint.pdf

zbMATH Keywords

Lévy processestax paymentsinsurance risk theorygeneral taxation structure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (15)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ A Constant Interest Risk Model with Tax Payments ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections ⋮ 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 ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ A Time-Homogeneous Diffusion Model with Tax ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ The equivalence of two tax processes ⋮ General tax structures for a Lévy insurance risk process under the Cramér condition ⋮ General tax Structures and the Lévy Insurance Risk Model

Cites Work

• Unnamed Item
• The tax identity in risk theory - a simple proof and an extension
• Special, conjugate and complete scale functions for spectrally negative Lévy processes
• Lundberg's risk process with tax
• Introductory lectures on fluctuations of Lévy processes with applications.
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Evaluating Scale Functions of Spectrally Negative Lévy Processes

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