Lundberg’s risk process with tax

Albrecher, Hansjörg; Hipp, Christiane

doi:10.1007/s11857-007-0004-4

Cited by 80 publications

(102 citation statements)

References 4 publications

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“…which is an extension of the so-called tax identity 5) first established by Albrecher and Hipp (2007). Ruin probabilities and other ruinrelated quantities (e.g.…”

Section: Du (T) = C (U (T)) 1 − γ U (T) I U (T) = U (T) Dt − Ds(t) Tmentioning

confidence: 84%

“…In this paper, the compound Poisson risk model modified by tax payments under a loss-carry forward tax system is studied. Such a tax model was first proposed by Albrecher and Hipp (2007) in the context of a constant tax rate and was later generalized by Albrecher et al (2009) to a surplus-dependent tax rate. Under this taxation system, it is assumed that, whenever the surplus process {U (t)} t≥0 is at its running maximum U (t) = sup 0≤s≤t U (s) at a given time t ≥ 0, a fraction γ (U (t)) of the premium income is paid as tax and as a result, the surplus process grows at the reduced rate c(U (t)) [1 − γ (U (t))].…”

Section: Du(t) = C(u(t)) Dt − Ds(t)mentioning

confidence: 99%

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On a Risk Model with Surplus-dependent Premium and Tax Rates

Cheung

Landriault

2010

Methodol Comput Appl Probab

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In this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Blätter der DGVFM 28(1): [13][14][15][16][17][18][19][20][21][22][23][24][25][26][27][28] 2007). In the compound Poisson risk model, Albrecher and Hipp (Blätter der DGVFM 28(1): [13][14][15][16][17][18][19][20][21][22][23][24][25][26][27][28] 2007) showed that a simple relationship between the ruin probabilities in the risk model with and without tax exists. This so-called tax identity was later generalized to a surplus-dependent tax rate by Albrecher et al. (Insur Math Econ 44(2):304-306, 2009). The present paper further generalizes these results to the Gerber-Shiu function with a generalized penalty function involving the maximum surplus prior to ruin. We show that this generalized Gerber-Shiu function in the risk model with tax is closely related to the 'original' Gerber-Shiu function in the risk model without tax defined in a dividend barrier framework. The moments of the discounted tax payments before ruin and the optimal threshold level for the tax authority to start collecting tax payments are also examined.

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“…which is an extension of the so-called tax identity 5) first established by Albrecher and Hipp (2007). Ruin probabilities and other ruinrelated quantities (e.g.…”

Section: Du (T) = C (U (T)) 1 − γ U (T) I U (T) = U (T) Dt − Ds(t) Tmentioning

confidence: 84%

Section: Du(t) = C(u(t)) Dt − Ds(t)mentioning

confidence: 99%

On a Risk Model with Surplus-dependent Premium and Tax Rates

Cheung

Landriault

2010

Methodol Comput Appl Probab

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“…Although there are no criteria known under which such a payment strategy is optimal, it leads to surprisingly simple identities between the survival probability with and without those payments and has another natural interpretation in terms of tax payments on profits of the insurance business (cf. Albrecher & Hipp [6] and Albrecher et al [1,8]). …”

Section: Some Particular Control Strategiesmentioning

confidence: 94%

Optimality results for dividend problems in insurance

Albrecher

Thonhauser

2009

Rev. R. Acad. Cien. Serie A. Mat.

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146

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“…This is an extension of the so-called tax identity (see [1], [2] and [3]). Even though this result was not explicitely stated in [6], one clearly sees that this is a direct consequence of Equation (3).…”

Section: (S(t)) Ds(t)mentioning

confidence: 97%

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

Renaud

2009

Insurance: Mathematics and Economics

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Abstract. We study the distribution of tax payments in the Lévy insurance risk model of Kyprianou and Zhou [6], that is a Lévy insurance risk model with a surplus-dependent tax rate. More precisely, after a short discussion on the so-called tax identity, we derive a recursive formula for arbitrary moments of the discounted tax payments until ruin and we identify the distribution of the tax payments when there is no force of interest.

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Lundberg’s risk process with tax

Cited by 80 publications

References 4 publications

On a Risk Model with Surplus-dependent Premium and Tax Rates

On a Risk Model with Surplus-dependent Premium and Tax Rates

Optimality results for dividend problems in insurance

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

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