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

Hansjörg Albrecher, Sem Borst, Onno Boxma and Jacques Resing

Insurance: Mathematics and Economics, 2009, vol. 44, issue 2, pages 304-306

Abstract: 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.

Keywords: Compound; Poisson; model; Insurance; risk; Survival; probability; Maximum; workload; Tax; payments (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:2:p:304-306

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