Optimal loss-carry-forward taxation for the Lévy risk model

DOI10.1016/j.insmatheco.2011.10.011zbMath1238.91086OpenAlexW2067135236MaRDI QIDQ2427816

Wenyuan Wang, Hu, Yijun

Publication date: 18 April 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.011

zbMATH Keywords

stochastic controlHJB equationspectrally negative Lévy process

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (12)

Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Two-side exit problems for taxed Lévy risk process involving the general draw-down time ⋮ A note on joint occupation times of spectrally negative Lévy risk processes with tax ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy ⋮ On the Markov-dependent risk model with tax ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ On maximizing expected discounted taxation in a risk process with interest ⋮ Optimal investment and reinsurance under the gamma process ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ The equivalence of two tax processes ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

Cites Work

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• On the time value of absolute ruin with tax
• On the dual risk model with tax payments
• On the Markov-modulated insurance risk model with tax
• The tax identity in risk theory - a simple proof and an extension
• On a risk model with surplus-dependent premium and tax rates
• Lundberg's risk process with tax
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum

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