On maximizing expected discounted taxation in a risk process with interest

DOI10.1016/J.SPL.2016.11.004zbMATH Open1415.91158OpenAlexW2550875374MaRDI QIDQ504475FDOQ504475

Authors Ruixing Ming, Wenyuan Wang, Yijun Hu

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 equationinterestoptimal taxation strategyCramér-Lundberg risk model

Mathematics Subject Classification ID

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

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• Lundberg's risk process with tax
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Cites work

• A Lévy Insurance Risk Process with Tax
• A constant interest risk model with tax payments
• General tax structures and the Lévy insurance risk model
• Lundberg's risk process with tax
• On optimal dividend strategies in the compound Poisson model
• On the expected discounted penalty function for risk process with tax
• On the time value of absolute ruin with tax
• Optimal loss-carry-forward taxation for the Lévy risk model
• Ruin probability in the presence of interest earnings and tax payments

Cited in

(6)

• Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
• On the expected discounted penalty function for risk process with tax
• Maximization of T-A objective functions for risk models with constant interest force
• Optimal loss-carry-forward taxation for the Lévy risk model
• On the time value of absolute ruin with tax
• Dividend and capital injection optimization with transaction cost for Lévy risk processes

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