Ruin probability in the presence of interest earnings and tax payments

Li Wei

Insurance: Mathematics and Economics, 2009, vol. 45, issue 1, pages 133-138

Abstract: In this paper we investigate the ruin probability in a general risk model driven by a compound Poisson process. We derive a formula for the ruin probability from which the Albrecher-Hipp tax identity follows as a corollary. Then we study, as an important special case, the classical risk model with a constant force of interest and loss-carried-forward tax payments. For this case we derive an exact formula for the ruin probability when the claims are exponential and an explicit asymptotic formula when the claims are subexponential.

Keywords: Classical; risk; model; Compound; interest; Ruin; probability; Subexponential; distributions; Tax; payments (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:1:p:133-138

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