Lévy insurance risk process with Poissonian taxation

DOI10.1080/03461238.2015.1062042zbMath1401.91216OpenAlexW2252500888MaRDI QIDQ4575450

Hailiang Yang, Zhimin Zhang, Eric C. K. Cheung

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/214572

zbMATH Keywords

Gerber-Shiu expected discounted penalty functionrandomized observation periodsdiscounted tax paymentsLévy insurance risk modelPoissonian observer

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (21)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ 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 ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ The compound Poisson risk model under a mixed dividend strategy ⋮ Finite-time dividend problems in a Lévy risk model under periodic observation ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs ⋮ Unnamed Item

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