On the dual risk model with tax payments

Détails

ID Serval
serval:BIB_7888C7B73320
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On the dual risk model with tax payments
Périodique
Insurance: Mathematics & Economics
Auteur(s)
Albrecher H., Badescu A., Landriault D.
Statut éditorial
Publié
Date de publication
2008
Peer-reviewed
Oui
Volume
42
Numéro
3
Pages
1086-1094
Langue
anglais
Résumé
In this paper, we study the dual risk process in ruin theory (see e.g. Cramer, H. 1955. Collective Risk Theory: A Survey of the Theory from the Point of View of the Theory of Stochastic Processes. Ab Nordiska Bokhandeln, Stockholm, Takacs, L. 1967. Combinatorial methods in the Theory of Stochastic Processes. Wiley, New York and Avanzi, B., Gerber, H.U., Shiu, E.S.W., 2007. Optimal dividends in the dual model. Insurance: Math. Econom. 41, 111-123) in the presence of tax payments according to a loss-carry forward system. For arbitrary inter-innovation time distributions and exponentially distributed innovation sizes, an expression for the ruin probability with tax is obtained in terms of the ruin probability without taxation. Furthermore, expressions for the Laplace transform of the time to ruin and arbitrary moments of discounted tax payments in terms of passage times of the risk process are determined. Under the assumption that the inter-innovation times are (mixtures of) exponentials, explicit expressions are obtained. Finally, we determine the critical surplus level at which it is optimal for the tax authority to start collecting tax payments.
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Création de la notice
09/02/2009 18:55
Dernière modification de la notice
20/08/2019 14:35
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