On a risk model with surplus-dependent premium and tax rates

DOI10.1007/s11009-010-9197-4zbMath1260.91120OpenAlexW2036464498MaRDI QIDQ2276426

David Landriault, Eric C. K. Cheung

Publication date: 5 November 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9197-4

zbMATH Keywords

Gerber-Shiu functiondiscounted tax paymentsmaximum surplus levelsurplus-dependent premiumtax identity

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (14)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ 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 investment strategies for an insurer with liquid constraint ⋮ Optimal loss-carry-forward taxation for the Lévy risk model ⋮ On the Markov-dependent risk model with tax ⋮ On the Gerber–Shiu function with random discount rate ⋮ The tax identity for Markov additive risk processes ⋮ Optimal investment for an insurer under liquid reserves ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ The equivalence of two tax processes ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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