Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077061 | Insurance: Mathematics and Economics | 2009 | 5 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jean-François Renaud,