Article: article from journal or magazin.
The tax identity in risk theory - a simple proof and an extension
Insurance: Mathematics and Economics
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.
Compound Poisson model, Insurance risk, Survival probability, Maximum workload, Tax payments
Web of science
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