General tax structures for a Levy insurance risk process under the Cramer condition

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Griffin, Philip S.¹ 

[1] Syracuse Univ, Dept Math, Syracuse, NY 13244 USA

关键词: Levy insurance risk process;    Cramer condition;    Reflected process;    Tax structures;    First passage time;    Overshoot;   

DOI  :  10.1016/j.spa.2019.05.003

来源: Elsevier

【 摘 要 】

We investigate the Levy insurance risk model with tax under Cramer's condition. A direct analogue of Cramer's estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin occurring, of several variables of interest related to ruin including the surplus immediately prior to ruin (undershoot) and shortfall at ruin (overshoot). We also compute the present value of all tax paid conditional on ruin occurring. The proof involves first transferring results from the model with no tax to the reflected process, and from there to the model with tax. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

Free