The tax identity in risk theory - a simple proof and an extension

DOI10.1016/J.INSMATHECO.2008.05.001zbMATH Open1163.91430OpenAlexW2149092492MaRDI QIDQ1017772FDOQ1017772

Authors: Hansjörg Albrecher, Sem Borst, Onno Boxma, Jacques Resing

Publication date: 12 May 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.001

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zbMATH Keywords

survival probability insurance risk tax payments compound Poisson model maximum workload

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

Title not available (Why is that?)
Lundberg's risk process with tax
HITTING AND RUIN PROBABILITIES FOR COMPOUND POISSON PROCESSES AND THE CYCLE MAXIMUM OF THE M/G/1 QUEUE

Cited In (34)

Tax optimization with a terminal value for the Lévy risk processes
On the Markov-modulated insurance risk model with tax
Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
A constant interest risk model with tax payments
Optimal loss-carry-forward taxation for the Lévy risk model
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
On taxed spectrally negative Lévy processes with draw-down stopping
Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes
The impact of insurance premium taxation
Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models
On the Cycle Maximum of Mountains, Dams and Queues
On a risk model with surplus-dependent premium and tax rates
Analysis of a drawdown-based regime-switching Lévy insurance model
On a risk model with Markovian arrivals and tax
The tax identity for Markov additive risk processes
Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
Power identities for Lévy risk models under taxation and capital injections
Dividends: from refracting to ratcheting
Lévy insurance risk process with Poissonian taxation
Strategies for dividend distribution: a review
On singular control of reflected diffusions
General drawdown of general tax model in a time-homogeneous Markov framework
On the Markov-dependent risk model with tax
Review of statistical actuarial risk modelling
General tax structures for a Lévy insurance risk process under the Cramér condition
The equivalence of two tax processes
The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
General tax structures and the Lévy insurance risk model
A time-homogeneous diffusion model with tax
On the joint distribution of tax payments and capitalinjections for a Lévy risk model
On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy
On the expected discounted penalty function for risk process with tax
On the time value of absolute ruin with tax
Ruin probability in the presence of interest earnings and tax payments

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