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

DOI10.1016/J.SPA.2019.05.003zbMATH Open1435.91150arXiv1806.06274OpenAlexW2963247243MaRDI QIDQ2301481FDOQ2301481

Authors: Philip S. Griffin 

Publication date: 24 February 2020

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

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.

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

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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)

Cites Work

• Title not available (Why is that?)
• Cramér's estimate for Lévy processes
• Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
• Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
• Convolution equivalent Lévy processes and first passage times
• Lundberg's risk process with tax
• General tax structures and the Lévy insurance risk model
• The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
• The tax identity in risk theory - a simple proof and an extension
• A Lévy Insurance Risk Process with Tax
• Cramér's estimate for a reflected Lévy process

Cited In (8)

• 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 \(G/G/\infty \) queue, and tax payments in renewal risk models
• 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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