On the Markov-modulated insurance risk model with tax

DOI10.1007/s11857-010-0104-4zbMath1195.91071OpenAlexW1997106225MaRDI QIDQ977310

Jiaqin Wei, Hailiang Yang, Rong-Ming Wang

Publication date: 21 June 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/125399

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (11)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm ⋮ 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 ⋮ The tax identity for Markov additive risk processes ⋮ Estimating the parameters of a seasonal Markov-modulated Poisson process ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time

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• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• A Lévy Insurance Risk Process with Tax
• Risk theory in a Markovian environment
• On the Time Value of Ruin

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