General tax structures and the Levy insurance risk model
| dc.creator | Kyprianou, Andreas E. | |
| dc.creator | Zhou, Xiaowen | |
| dc.date | 2009-02-25 | |
| dc.date.accessioned | 2026-07-07T12:46:43Z | |
| dc.date.available | 2026-07-07T12:46:43Z | |
| dc.description | 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. | |
| dc.identifier | https://arxiv.org/abs/0902.4340 | |
| dc.identifier | http://arxiv.org/abs/0902.4340 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/221476 | |
| dc.subject | Probability | |
| dc.subject | 60K05, 60K15, 91B30 | |
| dc.title | General tax structures and the Levy insurance risk model | |
| dc.type | text |