General tax Structures and the Lévy Insurance Risk Model
General tax Structures and the Lévy Insurance Risk Model
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DOI：
10.1239/jap/1261670694
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发表时间：
2009-02
影响因子：
1
通讯作者：
A. Kyprianou;Xiaowen Zhou
中科院分区：
文献类型：
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作者：
A. Kyprianou;Xiaowen Zhou
在Albrecher和Hipp(2007年)以及Albrecher，Renaud和周(2008年)的精神下，我们考虑了具有比前述论文更一般结构的纳税的L保险风险模型，这也在Albrecher，Borst，Boxma和Resing(2009)中被考虑过。在尺度函数方面，我们建立了三个感兴趣的基本恒等式，这三个恒等式近年来刺激了大量的精算研究。也就是说，双边退出问题，直到破产前缴纳的税款净现值，以及Gerber-Shiu函数的广义版本。我们求助的方法不同于Albrecher和Hipp(2007)，以及Albrecher，Renaud和周(2008)，因为我们主要求助于旅行理论。
In the spirit of Albrecher and Hipp (2007), and Albrecher, Renaud, and Zhou (2008) we consider a Lévy insurance risk model with tax payments of a more general structure than in the aforementioned papers, which was also considered in Albrecher, Borst, Boxma, and Resing (2009). In terms of scale functions, we establish three fundamental identities of interest which have stimulated a large volume of actuarial research in recent years. That is to say, the two-sided exit problem, the net present value of tax paid until ruin, as well as a generalized version of the Gerber–Shiu function. The method we appeal to differs from Albrecher and Hipp (2007), and Albrecher, Renaud, and Zhou (2008) in that we appeal predominantly to excursion theory.