A Lévy Insurance Risk Process with Tax

DOI10.1239/jap/1214950353zbMath1144.60032OpenAlexW2163615916MaRDI QIDQ3516409

Jean-François Renaud, Hansjoerg Albrecher, Xiao-Wen Zhou

Publication date: 5 August 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1214950353

zbMATH Keywords

ruin probabilityLévy processexcursion theoryfluctuation theoryscale functionstax paymentsinsurance risk theory

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (42)

The impact of insurance premium taxation ⋮ Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ A Constant Interest Risk Model with Tax Payments ⋮ 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 ⋮ On taxed spectrally negative Lévy processes with draw-down stopping ⋮ Lévy insurance risk process with Poissonian taxation ⋮ On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy ⋮ Uncertain insurance risk process with multiple classes of claims ⋮ On a risk model with Markovian arrivals and tax ⋮ Optimal loss-carry-forward taxation for the Lévy risk model ⋮ On the expected discounted penalty function for risk process with tax ⋮ On the Markov-dependent risk model with tax ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ On series expansions for scale functions and other ruin-related quantities ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases ⋮ The tax identity for Markov additive risk processes ⋮ An optimal dividends problem with transaction costs for spectrally negative Lévy processes ⋮ 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 ⋮ Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum ⋮ On maximizing expected discounted taxation in a risk process with interest ⋮ A Time-Homogeneous Diffusion Model with Tax ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ On the Markov-modulated insurance risk model with tax ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ The equivalence of two tax processes ⋮ An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density ⋮ Power identities for L\'evy risk models under taxation and capital injections ⋮ Review of statistical actuarial risk modelling ⋮ General tax structures for a Lévy insurance risk process under the Cramér condition ⋮ Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process ⋮ General tax Structures and the Lévy Insurance Risk Model ⋮ General drawdown of general tax model in a time-homogeneous Markov framework ⋮ A modified insurance risk process with uncertainty ⋮ On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process ⋮ Strategies for Dividend Distribution: A Review

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