General tax structures and the Levy insurance risk model

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In the spirit of previous of Albrecher, Hipp, Renaud and Zhou we consider a Lévy insurance risk model with tax payments of a more general structure than in the aforementioned papers that was also considered in \cite{ABBR}. In terms of scale functions, we establish three fundamental identities of interest which have stimulated a large volume of actuarial research in recent years. That is to say, the two sided exit problem, the net present value of tax paid until ruin as well as a generalized version of the Gerber-Shiu function. The method we appeal to differs from former works in that we appeal predominantly to excursion theory.

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Probability, 60K05, 60K15, 91B30

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http://salesiana.dossiersoluciones.com/handle/123456789/221476

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0902.4340
 http://arxiv.org/abs/0902.4340

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arXiv