publication . Other literature type . Article . 2008

On the dual risk model with tax payments

Hansjörg Albrecher; Andrei Badescu; David Landriault;
  • Published: 01 Jun 2008
  • Publisher: Elsevier BV
Abstract
In this paper, we study the dual risk process in ruin theory (see e.g. Cramer, H. 1955. Collective Risk Theory: A Survey of the Theory from the Point of View of the Theory of Stochastic Processes. Ab Nordiska Bokhandeln, Stockholm, Takacs, L. 1967. Combinatorial methods in the Theory of Stochastic Processes. Wiley, New York and Avanzi, B., Gerber, H.U., Shiu, E.S.W., 2007. Optimal dividends in the dual model. Insurance: Math. Econom. 41, 111-123) in the presence of tax payments according to a loss-carry forward system. For arbitrary inter-innovation time distributions and exponentially distributed innovation sizes, an expression for the ruin probability with tax...
Subjects
free text keywords: Laplace transform, First-hitting-time model, Exponential distribution, Payment, media_common.quotation_subject, media_common, Econometrics, Expression (mathematics), Mathematical economics, Economics, Stochastic process, Ruin theory, Dividend, Financial economics
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publication . Other literature type . Article . 2008

On the dual risk model with tax payments

Hansjörg Albrecher; Andrei Badescu; David Landriault;