On maximizing expected discounted taxation in a risk process with interest

DOI10.1016/J.SPL.2016.11.004zbMath1415.91158OpenAlexW2550875374MaRDI QIDQ504475

Wenyuan Wang, Ruixing Ming, Hu, Yijun

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.11.004

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinterestCramér-Lundberg risk modeloptimal taxation strategy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

Dividend and capital injection optimization with transaction cost for Lévy risk processes

Cites Work

• On the expected discounted penalty function for risk process with tax
• Ruin probability in the presence of interest earnings and tax payments
• On the time value of absolute ruin with tax
• Lundberg's risk process with tax
• Optimal loss-carry-forward taxation for the Lévy risk model
• A Constant Interest Risk Model with Tax Payments
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• On Optimal Dividend Strategies In The Compound Poisson Model

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