General tax structures and the Levy insurance risk model

Details General tax structures and the Levy insurance risk model General tax structures and the Levy insurance risk model

2009-02-25

arxiv.org/abs/0902.4340v1

Mathematics

Probability

Scientific paper

In the spirit of previous of Albrecher, Hipp, Renaud and Zhou we consider a L\'evy 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.

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