Lévy insurance risk process with Poissonian taxation

DOI10.1080/03461238.2015.1062042zbMath1401.91216MaRDI 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 function; randomized observation periods; discounted tax payments; Lévy insurance risk model; Poissonian observer

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B64: Macroeconomic theory (monetary models, models of taxation)

60K10: Applications of renewal theory (reliability, demand theory, etc.)

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