On the Markov-dependent risk model with tax
On the Markov-dependent risk model with tax
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DOI：
10.1007/s11766-015-3196-8
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发表时间：
2015-06
期刊：
影响因子：
--
通讯作者：
Xingchun Peng;Wenyuan Wang;Yijun Hu
中科院分区：
文献类型：
--
作者：
Xingchun Peng;Wenyuan Wang;Yijun Hu
本文研究了一类马氏相依的纳税风险模型，其中索赔发生次数、索赔额和税率均由一个不可约离散马氏链控制.在不含税收的马氏相依风险模型下，建立了税收折现期望和非破产概率以破产概率表示所满足的积分微分方程组.用迭代法求出了积分微分方程组的解析解。
In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chain. Systems of integro-differential equations satisfied by the expected discounted tax payments and the non-ruin probability in terms of the ruin probabilities under the Markov-dependent risk model without tax are established. The analytical solutions of the systems of integro-differential equations are also obtained by the iteration method.