Article: article from journal or magazin.
A Levy insurance risk process with tax
Journal of Applied Probability
Using fluctuation theory, we solve the two-sided exit problem and identify the ruin probability for a general spectrally negative Levy risk process with tax payments of a loss-carry-forward type. We study arbitrary moments of the discounted total amount of tax payments and determine the surplus level to start taxation which maximises the expected discounted aggregate income for the tax authority in this model. The results considerably generalise those for the Cramer-Lundberg risk model with tax.
Levy process, Fluctuation theory, Excursion theory, Scale functions, Insurance risk theory, Ruin probability, Tax payments
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