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

DOI10.1007/s11009-010-9197-4zbMath1260.91120MaRDI 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 function; discounted tax payments; maximum surplus level; surplus-dependent premium; tax identity

Mathematics Subject Classification ID

90B05: Inventory, storage, reservoirs

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Lévy insurance risk process with Poissonian taxation, Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion, Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time, Optimal investment strategies for an insurer with liquid constraint, On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy, Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes, On the Markov-dependent risk model with tax, On a risk model with Markovian arrivals and tax, Optimal investment for an insurer under liquid reserves, The equivalence of two tax processes, Gerber-Shiu analysis with two-sided acceptable levels, Optimal loss-carry-forward taxation for the Lévy risk model, The tax identity for Markov additive risk processes, On the Gerber–Shiu function with random discount rate

Cites Work

• Unnamed Item
• Ruin probability in the presence of interest earnings and tax payments
• The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
• On the time value of absolute ruin with tax
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• On the dual risk model with tax payments
• The compound Poisson risk model with multiple thresholds
• The tax identity in risk theory - a simple proof and an extension
• On the expected discounted penalty function at ruin of a surplus process with interest.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Lundberg's risk process with tax
• The compound Poisson risk model with a threshold dividend strategy
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• On the time value of absolute ruin with debit interest
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Maximizing Dividends without Bankruptcy
• Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches
• Some Optimal Dividends Problems
• On the Time Value of Ruin