On the time value of absolute ruin with tax
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Publication:659184
DOI10.1016/j.insmatheco.2009.09.004zbMath1231.91218MaRDI QIDQ659184
Ruixing Ming, Li-Qun Xiao, Wenyuan Wang
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.2009.09.004
expected discounted penalty function; tax; absolute ruin; compound Poisson surplus process; debit interest; interest rate on positive surplus; light and heavy-tailed claims
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