General tax Structures and the Lévy Insurance Risk Model

By Andreas E. Kyprianou, Xiaowen Zhou. Journal of Applied Probability, 2009

76 citations recorded by the source corpus.

In the spirit of Albrecher and Hipp (2007), and Albrecher, Renaud, and Zhou (2008) we consider a Lévy 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.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a4d68309fa0faf5d0fd078c649ddefa94be6c1c8

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Citations in the corpus

The Theory of Scale Functions for Spectrally Negative Lévy Processes (2011, background): “See for example [5, 64, 69, 85], as well as the work mentioned in the next example.”
Smoothness of scale functions for spectrally negative Lévy processes (2009, unknown): “The first is follows from (19) together with an application of (15) since”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “…and have proved to be key in understanding optimal barrier strategies (see: Zhou, 2005; Renaud and Zhou, 2007; Kyprianou and Palmowski, 2007; Albrecher, Renaud and Zhou, 2008; Kyprianou and Zhou, 2009; Loeffen, 2009; Kyprianou, Rivero and Song, 2008b; Kyprianou and Loeffen, 2008; Loeffen, 2008a,b).”