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

Renaud, Jean-François (2009). « The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure ». Insurance: Mathematics and Economics, 45(2), pp. 242-246.

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Résumé

We study the distribution of tax payments in the model of Kyprianou and Zhou [Kyprianou, A.E., Zhou, X., 2009. General tax structures and the Lévy insurance risk model. J. Appl. Probab. (in press)], 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.

Type:	Article de revue scientifique
Mots-clés ou Sujets:	Insurance risk theory; General taxation structure; Tax payments; Lévy processes
Unité d'appartenance:	Faculté des sciences > Département de mathématiques
Déposé par:	Jean-François Renaud
Date de dépôt:	22 avr. 2016 14:51
Dernière modification:	27 avr. 2016 19:28
Adresse URL :	http://archipel.uqam.ca/id/eprint/8259

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