General tax structures for a Lévy insurance risk process under the Cramér condition

DOI10.1016/J.SPA.2019.05.003MaRDI QIDQ2301481zbMATH OpenOpenAlexFDO

Authors Philip S. Griffin

Publication date 24 February 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.06274

zbMATH Keywords

first passage timeovershootreflected processtax structuresCramér conditionLévy insurance risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64)

Abstract: We investigate the Levy insurance risk model with tax under Cram'er's condition. A direct analogue of Cram'er's estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin occurring, of several variables of interest related to ruin including the surplus immediately prior to ruin (undershoot) and shortfall at ruin (overshoot). We also compute the present value of all tax paid conditional on ruin occurring. The proof involves first transferring results from the model with no tax to the reflected process, and from there to the model with tax. In doing so we also derive new results for the reflected process.

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Cites work

• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• A Lévy Insurance Risk Process with Tax
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• Lundberg's risk process with tax
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Cited in

(9)

• On the probability function of the total number of taxation periods for the Cramér-Lundberg risk model with tax
• Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
• Ruin excursions, the G/G/ queue, and tax payments in renewal risk models
• Spectrally negative Lévy processes perturbed by functionals of their running supremum
• Tax- and expense-modified risk-minimization for insurance payment processes
• Lévy insurance risk process with Poissonian taxation
• A Lévy Insurance Risk Process with Tax
• General tax structures and the Lévy insurance risk model
• Path decomposition of a reflected Lévy process on first passage over high levels

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