On the expected discounted penalty function for risk process with tax

DOI10.1016/j.spl.2010.12.012zbMath1207.62192MaRDI QIDQ631560

Ruixing Ming, Wenyuan Wang, Hu, Yijun

Publication date: 14 March 2011

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

Full work available at URL: https://doi.org/10.1016/j.spl.2010.12.012

zbMATH Keywords

ruin; Laplace transform; expected discounted penalty function; generalized Cramér-Lundberg risk model

Mathematics Subject Classification ID

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

Related Items

On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy, On maximizing expected discounted taxation in a risk process with interest, On the Markov-dependent risk model with tax, 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, Optimal loss-carry-forward taxation for the Lévy risk model, The tax identity for Markov additive risk processes

Cites Work

• On the dual risk model with tax payments
• The tax identity in risk theory - a simple proof and an extension
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• From ruin theory to pricing reset guarantees and perpetual put options
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Discounted probabilities and ruin theory in the compound binomial model
• Lundberg's risk process with tax
• General tax Structures and the Lévy Insurance Risk Model
• A Lévy Insurance Risk Process with Tax
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• On the Time Value of Ruin