General tax structures and the Lévy insurance risk model

Reference:

Kyprianou, A. E. and Zhou, X. W., 2009. General tax structures and the Lévy insurance risk model. Journal of Applied Probability, 46 (4), pp. 1146-1156.

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Official URL:

http://dx.doi.org/10.1239/jap/1261670694

Abstract

In the spirit of Albrecher and Hipp (2007), and Albrecher, Renaud, and Zhou (2008) we consider a Levy insurance risk model with tax payments of a more general structure than in the aforementioned papers, which was also considered in Albrecher, Borst, Boxma, and Resing (2009). 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 Albrecher and Hipp (2007), and Albrecher, Renaud, and Zhou (2008) in that we appeal predominantly to excursion theory.

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