Tax identities and discounted penalty functions in collective risk theory
نویسندگان
چکیده
Tax identities and discounted penalty functions in collective risk theory
منابع مشابه
On the Distribution of Discounted Collective Risk Model
We study the distribution of discounted collective risk model where the counting process is Poisson. For the model considered here, we obtain mean, variance and moment generating function (m.g.f) of the model. To do this, we use two approaches. In the first approach we use classical methods to obtain the mean and variance. In the second approach we introduce some proper martingale and then we o...
متن کاملA Unified Approach to the Mathematical Analysis of Some Popular Collective Risk Models
A quite flexible collective risk model for the surplus process of an insurance portfolio is investigated and an explicit expression for the Laplace transform of the discounted penalty function at ruin is derived. This allows to determine explicit formulae for several measures of risk related to the event of ruin. Since the model contains the Cramér-Lundberg model, Sparre Andersen models with ph...
متن کاملOn the Discounted Penalty Function in a Markov-dependent Risk Model
We present a unified approach to the analysis of several popular models in collective risk theory. Based on the analysis of the discounted penalty function in a semi-Markovian risk model by means of Laplace-Stieltjes transforms, we rederive and extend some recent results in the field. In particular, the classical compound Poisson model, Sparre Andersen models with phase-type interclaim times an...
متن کاملOn the Expected Discounted Penalty Function for a Risk Model with Two Classes of Claims and Random Incomes
In this paper, we consider a risk model with two independent classes of insurance risks and random incomes. We assume that the two independent claim counting processes are, respectively, the Poisson and the Erlang(2) process. When the individual premium sizes are exponentially distributed, the explicit expressions for the Laplace transforms of the expected discounted penalty functions are deriv...
متن کاملA Lévy Insurance Risk Process with Tax
Using fluctuation theory, we solve the two-sided exit problem and identify the ruin probability for a general spectrally negative Lévy 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 authorit...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010