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The tax identity in risk theory -- a simple proof and an extension

By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramér-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's risk process with tax. Blätter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates.
Year of publication:
2009
Authors: Albrecher, Hansjörg ; Borst, Sem ; Boxma, Onno ; Resing, Jacques
Published in:
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 2, p. 304-306
Publisher: Elsevier
Keywords: Compound Poisson model Insurance risk Survival probability Maximum workload Tax payments
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10004973675
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