Lundberg’s risk process with tax
Lundberg’s risk process with tax
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DOI：
10.1007/s11857-007-0004-4
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发表时间：
2007-04
期刊：
影响因子：
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通讯作者：
H. Albrecher;C. Hipp
中科院分区：
文献类型：
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作者：
H. Albrecher;C. Hipp
在本文中，我们扩展了经典的Cramér-Lundberg风险模型，包括纳税。 考虑的税收规则是支付一定比例的保费收入，每当投资组合是 在一个有利可图的情况。它表明，由此产生的生存概率是一个权力的生存 不含税的概率此外，给出了期望税收折现总额的显式表达式， 根据这一税收规则的破产前的支付推导和税收的最佳起始水平 是有决心的最后，对指数索赔情形给出了数值例子 金额。
In this paper we extend the classical Cramér–Lundberg risk model by including tax payments. The considered tax rule is to pay a certain proportion of the premium income, whenever the portfolio is in a profitable situation. It is shown that the resulting survival probability is a power of the survival probability without tax. Furthermore, an explicit expression for the expected discounted total sum of tax payments until ruin according to this taxation rule is derived and the optimal starting level for taxation is determined. Finally, numerical illustrations of the results are given for the case of exponential claim amounts.