The tax identity in risk theory - a simple proof and an extension
Details
Serval ID
serval:BIB_11D20BE64081
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
The tax identity in risk theory - a simple proof and an extension
Journal
Insurance: Mathematics and Economics
ISSN
0167-6687
Publication state
Published
Issued date
2009
Peer-reviewed
Oui
Volume
44
Number
2
Pages
304-306
Language
english
Abstract
By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramer-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's risk process with tax. Blatter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates.
Keywords
Compound Poisson model, Insurance risk, Survival probability, Maximum workload, Tax payments
Web of science
Create date
09/02/2009 19:44
Last modification date
20/08/2019 13:39